A novel overlap welding method was employed to effectively implement the interface connection of overlap welding of DP780 steel (upper plate) and AZ31B Mg alloy (lower plate) through using laser heat conduction with adding a Ni foil intermediate layer. The effects of Ni foil on the cross-sectional morphology, microstructure and mechanical properties of the lap welded joints were studied by adjusting the laser power from 2.3 kW to 2.9 kW. The results show that the existence of Ni foil promoted the propagation ability of liquid Mg at the steel/Mg interface and reduced the defects such as splashing and pores using laser heat conduction. A continuous and dense reaction layer was formed at the interface of the joint at 2.5 kW or 2.7 kW. Also, there appeared a large amount of AlNi phase between the Ni foil and the molten Mg alloy and it produced a small quantity of MgNi2 phase between the Ni foil and the steel. Moreover, the polygonal Mg2Ni phase was attached to the unmelted Ni foil and a large area (α-Mg + Mg2Ni) eutectic structure was formed near the interface of the joint. The joint strength reached the maximum value of 188.04 N/mm at 2.5 kW, which was much higher than those without an intermediate layer. In addition, the microhardness of the interface reaction layer could reach up to 233.91 HV, which was slightly higher than that of the steel base metal. This technological innovation could be applicable to the overlap welding of ferrous and non-ferrous metals.