To further improve the comprehensive properties of 42CrMo/Q235 laminated shafts produced by cross wedge rolling, the heat treatment of the shafts was studied. Tensile and bending tests were carried out to compare the changes in mechanical properties before and after heat treatment. The results showed that the interfacial bonding strength increased most after tempering at 350 °C for 45 min. The microstructure of the interface was observed using a digital microscope. The results showed that the dispersed oxides on the interface were basically eliminated by using the scheme of tempering at 350 °C and holding for 45 min. The reasons for the change in mechanical properties were explained from the point of the interfacial microstructure. Scanning electron microscopy was used to analyze the micro-morphology of the tensile fracture. It was observed that after tempering at 350 °C and holding for 45 min, the dimple holes became larger and deeper, and the structure of fracture became more uniform and stable. From the point of the tensile fracture morphology, the reasons for the change in mechanical properties were explained as well.