This study developed a five-layer Mg alloy laminate (pure Mg/AZ31/AZ91/AZ31/ pure Mg) through an innovative synergistic strategy involving Al-element gradient design, extrusion, and short-term annealing. Microstructural characterization revealed hierarchical heterogeneities in grain size, texture intensity, dislocation density, and precipitated phases, accompanied by the formation of annealing twinning in pure Mg layer—a phenomenon rarely documented in Mg alloys. Mechanical tests demonstrated significant strengthening effects in all annealed samples, particularly in the 300 °C/30 min annealed sample, which achieved the optimal comprehensive mechanical properties. The enhanced strength originated from the synergistic interaction among element-diffusion-induced solid solution strengthening, nanoscale β-Mg₁₇Al₁₂ precipitation, and hetero-deformation-induced (HDI) strengthening. This approach breaks the strength-ductility trade-off induced by traditional annealing processes, offering a new paradigm for designing high-performance Mg alloy laminates.