In this paper, the effect of high-current pulsed electron beam (HCPEB) on the microstructure refinement of an Al–20Si–5Mg alloy in the cross-section modified zone was studied, and a double-layer ultrafine crystal structure of the Al–20Si–5Mg alloy was formed. It was found that the cross-section modified zone was divided into three zones, namely, the remelted layer, the heat-affected zone, and the thermal stress wave-affected zone after HCPEB treatment. For the remelted layer, metastable structures were formed due to the rapid heating and cooling rates. For the heat-affected zone, the grain of the aluminum phase was refined due to the cooperative effects of shock wave (formed during an eruption event of the brittle phase), thermal-stress wave (formed during thermal expansion of the alloy surface), and quasi-static thermal stress (formed as a result of an unevenly distributed temperature gradient in the inner material) at high temperatures. For the thermal stress wave-affected zone, the grain refinement was not obvious due to the decreasing energy of the shock wave and the thermal-stress wave at low temperatures. In addition, firm evidence for the tracing of shock waves in the heat-affected zone was demonstrated for the first time and verified for the founding of the broken acicular eutectic silicon. Through this experiment, the mechanical properties of Al–20Si–5Mg alloy materials in both the remelted layer and heat-affected zone were significantly improved after HCPEB treatment.