The copper-clad magnesium composite wire with a diameter of 3.12 mm and good interface bonding was prepared by cold rotary swaging. The effects of cold rotary swaging and annealing temperature on microstructure and properties of the wire were studied by electron backscatter diffraction, transmission electron microscopy, as well as mechanical and electrical properties tests. The results show that the multi-pass cold rotary swaging composite has a great effect on grain refinement, microstructure recovery and structural unit reorientation, and can also make the wire obtain good interfacial bonding quality, improve mechanical properties, and the tensile strength can reach 289 MPa. The width of the interface layer widened with the increase of temperature, and the increase improved significantly at annealing temperatures of 450 °C and 500 °C, and the intermetallic compounds Mg2Cu and MgCu2 were found in the longitudinal section of the wire, respectively. After a reasonable annealing process of 400 °C/1 h, the interface layer did not thicken significantly, and the ductility and conductivity of the wire were the best, and the elongation after fracture and conductivity could reach 17% and 81.1% IACS, which increased by 15.2% and 3.8% compared with before annealing, respectively.