Recently, heterogeneous structured materials have attracted considerable attention due to their excellent mechanical properties. In this work, a heterostructured Al–AlN/Al–Mg laminated composite was successfully prepared by accumulative roll-bonding (ARB), and the microstructural evolution and tensile properties both at room temperature and under liquid nitrogen temperature were investigated systematically. It is found that the distribution of AlN particles in Al–AlN layer has been optimized to be more uniform to avoid sever stress concentration; both the Al matrix grains in the Al–AlN and Al–Mg layers were refined significantly with the increase of ARB cycles. In addition, the interfaces of Al–AlN and Al–Mg layers were well bonded and kept straight without any necking or fracture after ARB process. Compared with the room temperature tensile properties, the cryogenic tensile strength, yield strength and ductility of the Al–AlN/Al–Mg composite under liquid nitrogen temperature were enhanced simultaneously, which reached to 473.7 MPa, 363.1 MPa and 9.88%, increased by 51.8%, 39.0% and 83.3%, respectively. It is found that the strain hardening rate under liquid nitrogen temperature was also enhanced significantly. It is proposed that the hetero-deformation induced (HDI) stress played a crucial role in the significant enhancement of tensile strength and ductility for the laminated composites.