The multi-metal structure combines the thermal stability and high-temperature resistance of Inconel 718 (IN718) with the excellent thermal conductivity of CuCrZr, making it highly valuable for applications in aero-engines. Nevertheless, it is challenging to fabricate high-strength multi-metallic interfaces due to their large thermophysical differences. In this paper, the interface between IN718 and CuCrZr was well bonded by laser powder bed melting technology and optimizing the process parameters. The effects of process parameters on the interfacial properties of the prepared IN718/CuCrZr were analyzed. The microstructure characteristics, element distribution, microhardness, tensile properties, and thermal conductivity of IN718/CuCrZr were studied. The melting behavior, interface characteristics, and formation mechanism of multi-metallic materials were discussed. The experimental results show that the volumetric energy density range of 209.88–404.76 J/mm3 is suitable for the formation of IN718/CuCrZr. The formation of interface characteristics is mainly attributed to Marangoni convection, which promotes the mixing of Ni and Cu elements, helps form a stable transition layer at the interface, and enables a natural transition between the two metal interfaces. This indicates that there is good metallurgical bonding at the IN718/CuCrZr interface. At the same time, the equiaxed grain structure and grain refinement were observed in the transition zone, which was also reflected in the longitudinal section hardness distribution of the IN718/CuCrZr interface. The tensile test results show the transverse of IN718/CuCrZr (IN718/CuCrZr (T)) and longitudinal of IN718/CuCrZr (IN718/CuCrZr (L)) exhibit different deformation mechanisms. The fracture of IN718/CuCrZr (T) occurs in the CuCrZr region, indicating that the interface is well bonded. The tensile properties of IN718/CuCrZr (L) are higher than that of CuCrZr and lower than that of IN718, and brittle fracture occurs at the interface. The tensile properties of IN718/CuCrZr (T) are dominated by CuCrZr and IN718/CuCrZr (L) is determined by both IN718 and CuCrZr. Compared with IN718, the thermal conductivity of IN718/CuCrZr multi-metallic structure is significantly improved. This will open up the possibility of multi-metallic materials additive manufacturing for the next generation of aerospace structures.