In this study, three-ply Al/Mg/Al composite plates were successfully achieved by vertical explosive welding (EXW) method. After EXW, the sound joints were obtained. Then thin three-ply Al/Mg/Al EXWed composite plates with the thickness of 1.78 mm were achieved by hot rolling. The influence of annealing on the interface microstructures and mechanical properties of the thin composite plates was investigated. The results indicated that different morphology with big waveform and mini waveform was present in the explosively bonded interface. The interface shear strength was 91MPa for big waveform side and 92Mpa for mini waveform side. The rolled sample without annealing possessed the high ultimate tensile strength (UTS) value of 235Mpa and elongation of 8.5%. The equiaxed and homogeneous grain morphology of magnesium alloys in the thin three-ply Al/Mg/Al composite plates could be induced by annealing 300°C for 1 h. This contributed to the considerable increase of elongation by 18.5%.