In this paper, Mg/Al laminated composites were successfully prepared at 400 °C by corrugated + flat rolling (CFR) with reduction ratios of 35% and 25% and subsequent annealing treatments were conducted at 200–350 °C for 30 min. A two-dimensional model was established to analyze the strain distribution during the first corrugated rolling process. Simulation results indicated that severe plastic deformation was formed at trough positions, which included more numerous refined grains than in the peak positions. The interfacial microstructure and mechanical property of the flattened composites along the rolling direction (RD) and the transverse direction (TD) were investigated. The results revealed that longitudinal discontinuous and transverse continuous interfacial intermetallic compounds (IMCs) were observed of the flattened as-rolled sample. Spatial distribution was provided for the grain microstructure along the thickness and rolling direction for AZ31B magnesium alloys of the CFR as-rolled composite. Mechanical property results showed that the longitudinal ultimate tensile strength (UTS) and elongation (EL) of the as-rolled sample reached 255 MPa and 4.14%, respectively. The as-rolled UTS along TD reached 325 MPa, about 30% higher than that along the RD. After heat treatment, the anisotropy of mechanical properties remained. The microstructure evolution and mechanical properties were discussed in detail.