An attempt has been made to clad Mg alloy with Al by twin-roll casting. This was done by inserting an Al sheet between the roll and the Mg alloy melt during twin-roll casting. Microstructural investigation across the transverse section of the as-cast Al-clad Mg alloy sheet reveals a very good interfacial bonding between Al and the base Mg alloy. Annealing of the Al-clad Mg alloy sheet results in the formation of layers of various intermetallic phases along the Mg/Al interface. Subsequent rolling of the as-annealed sheet significantly improves the formability of the reaction zone, as evidenced by the cracking of the base Mg alloy before the cracking of the reaction zone.