Explosive welding (EXW) involves processes like the detonation of explosive charge, impact of metal structures and strong fluid-structure interaction with complex features such as interfacial waves and jet generation. The whole EXW process has not been well modeled before due to the large deformation and moving interfaces while the associated mechanisms inherent in EXW are also not well understood. In this paper, the whole EXW process is simulated using a density adaptive smoothed particle hydrodynamics (SPH) model, in which a density adaptive algorithm is used to treat variable large density ratio in EXW and the kernel gradient correction (KGC) is used to improve computational accuracy of SPH. The mechanisms in EXW are investigated, and typical phenomena including the wavy interface, jet formation, interfacial temperature and pressure distribution as well as melting voids are examined. The mechanisms of wave formation are studied while two existing mechanisms, namely, the Jet Indentation Mechanism and the Vortex Shedding Mechanism are revealed with the present SPH simulations. It is demonstrated that with proper amount of explosive charge and initial welding angle, the present SPH method can well reproduce the morphology evolution of the welding interface from straight to wavy and further to wavy with vortex shedding. Furthermore, based on comprehensive numerical data from SPH simulations, two types of numerical weldability windows for EXW are presented together with discussions about different welding limits and effective explosive charge.