By integrating smoothed particles hydrodynamics (SPH) simulation, advanced characterization, and theoretical analysis, the interfacial transient behaviors of copper/steel composite during explosive welding were deeply studied, and the evolution mechanisms of microstructures were specifically explained. According to simulated data, the entire evolution of wave was reconstructed, and the formation mechanisms of various interface features were revealed. The multi-scale EBSD analyses showed that the grain structures were diverse in the regions adjacent to the interfaces. The evolution mechanisms of these grains were mainly governed by three processes of plastic flow, dynamic recrystallization, and solidified nucleation. Finally, the correlations between the grain structures and mechanical properties were established by nanoindentation tests.