The effective weight reduction in the automotive industry by the wide adoption of lightweight magnesium (Mg) alloys demands high-quality joint between magnesium alloys and massively-used steels in order to wring the excess weight with strength and safety assurance. However, Mg-steel joint is difficult to achieve because there is no mutual solubility between magnesium and steel and huge disparity in physical properties. An impact-based welding method recently showed successful Mg-steel joining. In this work, the characteristics of Mg-steel interface joined by the impact welding method were investigated. Synchrotron high-energy X-ray computed tomography and diffraction were applied to characterize the microstructure across Mg-steel interface. Results revealed a deposit layer formed at the joint interface where Fe-rich particles spread deep into the Mg matrix. High-resolution 3D morphology of Mg-steel interface demonstrated the trapped pores and cracks inside the deposit layer. The formation of the deposit layer and the void/cracking evolution were analyzed by using finite element models. These findings provide insights into the immiscible Mg-steel joining process.