Aluminum alloy and steel composite structures are increasingly and widely used in the automotive industry and other fields owing to their advantages of light weight and high comprehensive performance. The high-quality joining of aluminum alloy and steel has become the research focus in China and overseas. The current study proposes a probeless friction stir extrusion joining (P-FSEJ) process to avoid intermetallic compounds, reduce wear of tools, and obtain a spot joint without keyhole defects. Strong mechanical interlock is formed after that the plasticized aluminum alloy (AA) 6061-T6 is extruded into the prefabricated threaded hole of a Q235 steel plate in the P-FSEJ process. Three distinct zones in the typical symmetrical “basin-shaped” P-FSEJed joint are observed. In addition to the rotation speed, the diameter of the threaded hole is also specifically used to study the influence on the mechanical properties of the joint. When the rotation speed is 1200 rpm, the maximum tensile-shear loads of the M6 and M7 threaded hole joints are 2882.93 N and 3344.74 N, respectively, while the M8 threaded hole joint is 4139.58 N at rotation speed of 1000 rpm. Two typical fracture failure modes of the P-FSEJed joints, namely, rivet shear and rivet pullout-shear fractures, are obtained under tensile-shear loading. Lastly, the P-FSEJed joints with mode “P” fracture failure generally have high strength and energy absorption capability.