To overcome the shortcomings of magnesium alloys such as low strength at an elevated temperature and poor corrosion resistance, the fabrication of Mg/Al compound materials has attracted more and more attention in the recent years. Among the various fabrication methods such as diffusion bonding, friction-stir welding, and fusion welding, insert molding technique has shown some advantages such as low production cost, short processing time and the ability of producing complex shape. However, there are only a few documents about this preparation method. In this paper, the corresponding study is carried out via inserting 6061 aluminum alloy into AZ31 magnesium alloy melt. The interface bonding mechanism and its mechanical behavior are investigated as well. It has been found that a good metallurgical bonding can be formed at the interface, which consists of three layers, i.e., Al3Mg2, Al12Mg17, and Al12Mg17+(Mg) eutectic structure. The average shear strength is 20 MPa, which is close to the reported shear strength of the samples prepared by other methods. This research provides a new insight for the fabrication of Mg/Al compound materials.