In the present study, microstructural and mechanical properties of diffusion bonding of AZ31–Mg with Al 5754, Al 6061, and Al 7039 alloys were compared under same conditions. The vacuum diffusion processes were performed at a temperature of 440 °C, the pressure of 29 MPa, and a vacuum of 1 × 10−4 torr for 60 min. The microstructural characterizations were investigated using optical microscopy and scanning electron microscopy equipped with EDS analysis and linear scanner. The XRD analysis was performed to study phase figures near the interface zone. The results revealed the formation of brittle intermetallic compounds like Al12Mg17, Al3Mg2, and their other combinations at bonding interfaces of all samples. Additionally, the hardness of Al alloys seemed to play a key role in increasing diffusion rate of magnesium atoms toward the aluminum atoms, with Al 6061 alloy having the highest diffusion rate. It consequently led to an increase in diffusion rate and thus formation of a strong diffusion bonding between magnesium and aluminum alloys. The highest strength was about 42 MPa for the diffusion bonding between Mg AZ31 and Al 6061. Further investigations on surfaces indicated that the brittle phases especially Al3Mg2 caused brittle fracturing.