Vacuum brazing of tungsten heavy alloys (WHAs) was conducted with a design of Cu-Ti-Ni-Zr amorphous filler. The effects of key brazing parameters (brazing temperature T, holding time t) on interfacial microstructures and mechanical properties were investigated. The typical microstructure of brazing seam was composed of CuTi eutectic, CuZr dendrites along with (Cu, Ti) (Ni, Zr) and (Cu, Ni) Ti2 phases. With the brazing temperature increased from 850 °C to 1000 °C, the phenomenon of “infiltration induced separation of adjacent W grains” was intensively expanded, which was addressed in view of the Marangoni convection effect, atom diffusion, internal reaction, and grain boundary wetting. The maximum shear strength of the joint brazed at 925 °C for 20 min reached 366.6 MPa. This first detailed study on wettability, interfacial microstructures, and joining mechanism of WHAs brazed joints can benefit an in-depth understanding in joining process of WHAs, which can also provide guidance for joining of sintered dual/multi-phase refractory composites.