In this study, an attempt was made to manufacture an AZ31–Al5005 laminated composite by explosive welding. A mixture of ammonium nitrate (90%), fuel oil (5%), and TNT (5%) was used as the explosive. The detonation velocity of the explosive material was approximately 3100 m•s−1. The microstructure and mechanical and corrosion properties of the joint were comparatively investigated. Microstructural characterisation of the joint was conducted by optical microscopy (OM), scanning electron microscopy with energy-dispersive spectroscopy (SEM-EDS), high-resolution transmission electron microscopy (HR-TEM), and X-ray diffraction (XRD). The mechanical properties were determined using micro-Vickers hardness, tensile, and Charpy impact tests. In addition, electrochemical tests were conducted on the AZ31–Al5005 laminated composite and the individual components to determine their corrosion resistance. The corrosion behaviours of the structures were determined in a 3.5% NaCl solution at room temperature using potentiodynamic scanning (PDS). The metallurgical structure and mechanical properties of the joints were within the acceptable limits.