In the electronic industry, the composite of copper (Cu) and aluminum nitride (AlN) is widely used, but obtaining Cu/AlN/Cu functionally gradient materials (Cu/AlN/Cu FGMs) in a single step using traditional laminated sintering processes has proven challenging due to significant differences in their physical properties. To address this issue, molybdenum (Mo), with a high melting point and low expansion, was involved in creating a continuous gradient structure with AlN and a quasi‐continuous interfacial structure with Cu. The continuous interfacial structure of Mo/AlN gradient materials was obtained by hot pressing at 1650°C. Subsequently, the quasi‐continuous interfacial structure of Cu/Mo heterogeneous metal joints with high shear strength was achieved by utilizing the diffusion welding method at 700–950°C. The results indicated that the optimum shear strength of Cu/AlN/Cu FGMs is around 90 MPa. However, Cu/AlN/Cu FGMs with different diffusion interlayers failed in different ways when shear occurred, which greatly depends on the phase compositions at the joint. The challenges are overcome by utilizing Mo to construct the continuous and quasi‐continuous interfaces, resulting in Cu/AlN/Cu FGMs with improved shear properties.