In the dissimilar metal welding field, electromagnetic pulse welding (EMPW) is a kind of potential technology. To further reveal the bonding mechanism of EMPW, this work carried out a Cu–Al sheet EMPW experiment with a discharge voltage of 15 kV and a gap of 1.5 mm. It analyzed the microstructure and formation mechanism of the Cu–Al EMPW joint bonding interface transition layer in detail by SEM, EDS, TEM, and FIB. The transition layer was found at the vortex zone, and there was an isolated long strip Cu particle separated from the main body of the Cu sheet. The tested results showed that the transition layer contained Al-rich intermetallic compound (IMC) Al2Cu, and some bulk particles in the transition layer were Cu-rich IMCs Al4Cu9 and AlCu4. There were Cu-rich IMCs Al4Cu9, AlCu4, and AlCu between the long strip Cu particle and the IMC transition layer. In the violent impact process between the Cu sheet and Al sheet, the Cu rapidly diffused in the Al matrix to form the Al-rich IMC (Al2Cu) as the primary transition layer, and the interface was high temperature and high pressure, forming a plastic flow and vortexes swirling. Some Cu particles separated from the Cu sheet and became the vortex piece during the plastic flow process, and continued to interact with the Al2Cu primary transition layer to form the secondary transition layer. This work could provide a basis for revealing the structure composition and formation mechanism of the Cu–Al EMPW joint interface transition layer.