The essential purpose of this review paper is to describe the advancement of work towards dissimilar friction stir welding of Al to Mg alloy. Nowadays, joining dissimilar aluminium and magnesium alloy is challenging due to different crystal structures, so Friction Stir Welding (FSW) plays an essential role in joining this dissimilar alloy. In this, the theoretical parameters causing the formation of intermetallic compounds are addressed by recognizing the process, various zones, and geometry of the tools and materials in Al alloy to Mg alloy FSW. For joining Al and Mg Alloy, an intermetallic compound is formed in the banded structure zone; this zone is the weak part of the weld and responsible for most of the joint’s failure. The formation of intermetallic phases during FSW of dissimilar Al to Mg alloy is mainly the high tool rotation speed and low traverse speed. The key problem encountered to join this different alloy is creating an intermetallic phase. However, the mechanical properties are appropriate for technical applications where the thickness of this intermetallic phase layer is less than ten μm. In order to reduce the intermetallic compounds, FSW of Al to Mg alloy is carried out in different cooling mediums and by the usage of the barrier layer between both dissimilar base materials. Finally, the studied patterns in the development of defects and numerous literature reviews are described in-depth, and based on all these observations, some recommendations are provided.