5A06 Aluminum (Al) alloy and AZ31B magnesium (Mg) alloy with 20 mm thickness were successfully butt joined by friction stir welding. In order to control the composition of Al and Mg alloys along thickness direction, an inclined butt joint was designed in this study. The microstructure and phase identification at the interface of Al/Mg joints were examined using scanning electron microscopy with an energy-dispersive spectroscopy and Micro X-ray diffraction. The results indicated that there were two different formation mechanisms of intermetallic compounds at the interface of thick plate Al/Mg joint. The first was constitutional liquation, and eutectic structure consisting of Al12Mg17 and Mg solid solution existed at the top and upper-middle of the Mg side interface. The second was diffusion reaction, and the two sub-layers of Al12Mg17 and Al3Mg2 formed at the lower middle and bottom of the Mg side interface. In addition, the diffusion thickness values of Al12Mg17 and Al3Mg2 layers decreased gradually from the lower middle to bottom of the Mg side interface. As the position changes from the middle to the bottom near the Mg side interface, the diffusion coefficient of Al3Mg2 phase rapidly decreases from 3.14 × 10−12 m2/s to 6.9 × 10−13 m2/s and the diffusion coefficient of Al12Mg17 phase decreases from 6.8 × 10−13 m2/s to 1.5 × 10−13 m2/s.