In this work, the effect of heat transfer during explosive welding (EXW) and post-processing annealing on the microstructural and chemical composition changes have been thoroughly analysed using scanning and transmission electron microscopies and X-ray synchrotron radiation. Several combination of explosively welded metal compositions were studied: Ti with Al, Cu with Al, Ta or stainless steel, stainless steel with Zr or Ta and Ti with carbon steel. It was found that the melted metals exhibit a strong tendency to form brittle crystalline, nano-grained or even amorphous phases during the solidification. For all analysed metal combinations most of the phases formed in the zones of solidified melt do not appear in the equilibrium phase diagrams. Concurrently, the interfacial layers undergo severe plastic deformation forming nano-grained structures. It has been established that these heavily deformed areas can undergo dynamic recovery and recrystallization already during clad processing. This leads to the formation of new stress-free grains near the interface. In the case of low temperature and short time post processing annealing only the melted zones and severely deformed layers undergo recovery and recrystallization. However, drastic changes in the microstructure occurs at higher temperature and for longer annealing times. Applying such conditions leads to diffusion dominant processes across the interface. As a consequence continuous layers of intermetallic phases of equilibrium composition are obtained.