This research was aimed to reveal atomic diffusion across the bonding interface through the extrusion-welding experiments of dissimilar materials, namely pure magnesium and Mg–Al–Zn–RE alloy. A special tooling setup used to simulate weld seam formation during extrusion through a porthole die was designed for this model study. To deform the metal streams symmetrically and create a sound weld seam, the extrusion-welding experiments from sandwich-structured billets were carried out. Chemical analysis of diffused atoms in the welding region was performed by electron probe micro-analysis. The results confirmed that atomic diffusion indeed occurred across the interface during extrusion. The gradients in element concentration, local stresses, and hydrostatic pressure were considered to be the necessary conditions for extensive atomic diffusion to occur. Atomic diffusion was significantly enhanced by raising extrusion temperature. The analysis of the stress and hydrostatic pressure distributions in the welding region provided new insights into the mechanisms of weld seam formation during the extrusion of light metals.