The effects of laser welding parameters on the interface microstructure of AZ31B magnesium alloy and 304 stainless steel were investigated. After welding, a scanning electron microscope and ultra-depth of field microscope were used to observe the microstructure of the welded material, to analyze the effects of power on the interface morphology. The simulation of laser welding of magnesium and steel was carried out by the COMSOL software. The results showed that when the power was 15 W–20 W, the temperature did not reach the melting point of magnesium alloy, there was MgO at the welding, and the interface had poor connection strength. When the power was 35 W–50 W, the temperature reached or even exceeded the boiling point of magnesium alloy, and the interface formed hot cracks, pores, and oxides and had poor joint strength. When the power was 25 W–30 W, the temperature was between the melting point and boiling point of magnesium, and the interface had excellent connection strength.