The 5052 aluminium alloy and 304 stainless steel were successfully joined by cutting-assisted welding-brazing (CAWB) method without using flux. Dual-scale interfacial structures were achieved by manipulating the cutting tool profile. Results indicated that the macro-scale interfacial structure was produced at the joint interface when the taper step-shape cutting tool was adopted. As the cutting tool step was increased to 6-step, the micro-scale interface took on serrated morphology and a layer of continuous and wavy intermetallic compound (IMC) with an average thickness of 3.3 μm was formed at the interface. The τ 4 IMC particles and the FeAl 6 phases on a small scale were dispersed homogeneously in the welded seam. The maximum tensile strength of the joints reached 152.3 MPa upon tensile loading, 75% that of the 5052 aluminium base metal. The strong and reliable Al/steel dissimilar joints were attributed to the particle reinforced weld metal and the macro- and micro-scale dual self-locking structure at the interface.