We investigate the influence of post-rolling heat treatment on the microstructural evolution and subsequent mechanical properties of a roll-bonded stainless steel (STS)-Al–Mg 3-ply clad sheet. Intermetallic compound (IMC) phases, γ (Mg17Al12) and β (Mg2Al3), were generated at the interface between the constituent Mg and Al alloys. The thickness of the IMC layers increased to more than 10μm with increasing annealing time up to 3h at 300°C. Upon extending the annealing time to 12h, the β phase at the interface between Al and Mg hardened significantly, which was verified by investigating the local mechanical properties of the γ and β phases using nanoindentation. Furthermore, the mechanical properties of the three constituent alloys and the 3-ply clad sheets were systematically investigated by uniaxial tensile and flexural bending tests. Taking both tensile strength and elongation into account, the 3-ply sample annealed for 1h at 300°C exhibited acceptable overall mechanical properties. The mechanism for retarding interfacial delamination in the direction perpendicular to the transverse loading was also confirmed by observation from the side surfaces of the 3-point-bending-tested specimens. Abrupt longitudinal crack propagation was observed within the annealing-hardened β phase, followed by the generation of short lateral cracks in the bending sample annealed for 3h, indicating that the overannealing-induced brittleness of a specific IMC phase at the interface may be detrimental to overall mechanical properties of the roll-bonded 3-ply clad sheet adopted in this study. Display omitted ► Annealing time is a key factor to generate distinctive layers at Mg–Al interface. ► Rapid hardening of β (Mg2Al3) phase takes place upon increasing annealing time. ► Uniaxial tensile test for a STS-Al–Mg 3-ply sheet results in interface hardening. ► Interface crack propagation by bending indicates the embrittlement of β phase.