In this research, the ultra-thin Cu/Al metallic composite sheets of 0.06 ∼ 0.09 mm were successfully prepared by the self-designed four-high laboratory micro mill. The cold rolling reduction of single pass was up to 70%. The effect of different annealing temperatures on microstructure and element diffusion of the Cu/Al composite sheet interface was investigated at the microscale. The results show that with the increase of annealing temperature, the average grain size of Cu and Al increases gradually, the mutual diffusion of Cu/Al elements increases. Compared with the macroscale, the grain refinement of the ultra-thin Cu/Al composite sheets can promote the interdiffusion of Cu and Al elements. When the annealing temperature was 350 ∼ 450 °C, a relatively large number of micropores and microcracks appeared at the interface of Cu/Al composite sheet. When the annealing temperature was 350 °C, a diffusion layer was formed at the interface of the ultra-thin Cu/Al composite sheet, and the interface bonding method was metallurgical bonded. When the annealing temperature was 500 °C, the mutual diffusion degree of elements was the largest at the interface.