Joining of aluminum alloys through friction stir welding (FSW) is effectively employed in several industries (e.g., aeronautics and aerospace) since it guarantees proper weld strength as compared to other joining technologies. Contrarily, dissimilar FSW of aluminum alloys and steels often poses important issues in the selection of welding parameters due to the difficulty to join different materials. Improper welding parameters give rise to the formation of intermetallic compounds, and internal and external defects (e.g., tunnel formation, voids, surface grooves, and flash). Intermetallic compounds are brittle precipitates of Al/Fe, which chiefly initiate crack nucleation, whereas internal and external defects mainly act as stress concentration factors. All these features significantly reduce joint strength under static and dynamic loading conditions. With reference to the literature, the influence of main welding parameters (rotational speed, welding speed, tool geometry, tilt angle, offset distance, and plunge depth) on the formation of intermetallic compounds and defects in FSW of aluminum alloys and steels is discussed here. Possible countermeasures to avoid or limit the above-mentioned issues are also summarily reported.