To explore the influence of annealing temperatures on the interfacial structure and peeling strength of Cu/Al clad sheets with a 304 stainless steel foil interlayer, an intermediate annealing treatment was performed at temperatures of 450 °C, 550 °C, and 600 °C, separately. The experimental results indicate that the interfacial atomic diffusion is significantly enhanced by increasing the intermediate annealing temperature. The average peeling strength of the clad sheets annealed at 550 °C can reach 34.3 N/mm and the crack propagation is along the steel/Cu interface, Cu-Al intermetallic compounds layer, and Al matrix. However, after high-temperature annealing treatment (600 °C), the liquid phase is formed at the bonding interface and the clear Cu/steel/Al interface is replaced by the chaotic composite interfaces. The clad sheet broke completely in the unduly thick intermetallic compounds layer, resulting in a sharp decrease in the interfacial bonding strength.