The joining of magnesium alloy to galvanized steel was realized by cold metal transfer method with AZ31 magnesium alloy welding wire. Weld appearance, microstructure and tensile properties of Mg–steel joints under various welding parameters were investigated with different welding heat inputs. The results showed that magnesium alloy-steel brazed joints had good weld appearance. When the welding heat input was 141 J/mm, Zn elements were enriched in the Zn-rich zone (ZRZ), and the interface layer was composed of a large portion of Mg–Zn phases and minor Mg–Al phases. With the increase of welding heat input, Zn elements in the ZRZ gradually decreased, Fe/Al phase appeared in the interface layer, and the strength of welding joint increased. When the welding heat input was 159 J/mm, the tensile strength of welding joint reached the maximum value of 198 MPa. However, when the welding input was increased to 181 J/mm, Zn element in the ZRZ was burnt and volatilized seriously, resulting in poor wetting and spreading properties of liquid phase at the interface zone of the steel.