In order to broaden industrial applications of Mg alloys, as lightest-weight metal alloys in practical uses, many efforts have been dedicated to manufacture various clad sheets which can complement inherent shortcomings of Mg alloys. Here, we present a new fabrication method of Mg/Al clad sheets by bonding thin Al alloy sheet on to Mg alloy melt during strip casting. In the as-strip-cast Mg/Al clad sheet, homogeneously distributed equi-axed dendrites existed in the Mg alloy side, and two types of thin reaction layers, i.e., γ (Mg17Al12) and β (Mg2Al3) phases, were formed along the Mg/Al interface. After post-treatments (homogenization, warm rolling, and annealing), the interfacial layers were deformed in a sawtooth shape by forming deformation bands in the Mg alloy and interfacial layers, which favorably led to dramatic improvement in tensile and interfacial bonding properties. This work presents new applications to multi-functional lightweight alloy sheets requiring excellent formability, surface quality, and corrosion resistance as well as tensile and interfacial bonding properties.