Magnesium and aluminum alloys are widely used in the aerospace industries due to their lightweight and high strength characteristics. However, welding aluminum/magnesium dissimilar alloys is an extremely challenging task because of the significant differences in their physical and chemical properties, and the formation of brittle Al–Mg intermetallic compounds can seriously affect joint strength. This article discusses the current research status of welding aluminum/magnesium dissimilar alloys from the perspective of welding methods, including laser welding, TIG welding, friction stir welding, ultrasonic welding, magnetic pulse welding, and some other welding methods. Various efforts made by domestic and foreign researchers to improve the comprehensive mechanical properties of aluminum/magnesium dissimilar alloys welding joints are summarized, specifically including the use of solid-state welding, adding intermediate layers, optimizing welding process parameters, and composite welding to suppress the generation and growth of magnesiumaluminum intermetallic compounds. Finally, the research trends and prospects of aluminum/magnesium welding are summarized and discussed.