In this study ZK60/WE43 bimetal composite rods were manufactured by a special method of hot diffusion and co-extrusion. Interface microstructure, deformation mechanism, and yield asymmetry between tension and compression for the composite rods were systematically investigated. It was observed that the salient deformation mechanism of the ZK60 constituent was {10-12}<−1011> extension twinning in compression and prismatic slip in tension, and different deformation modes resulted in yield asymmetry between tension and compression. In contrast, the WE43 constituent tends to be more isotropic due to grain refinement, texture weakening, solid-solution and precipitation strengthening, which were deformed via basal slip, prismatic slip, and {10-12}<−1011> extension twinning in both tension and compression. Surprisingly, it was found that yield asymmetry between tension and compression for the ZK60/WE43 composite rods along the extrusion direction was effectively reduced with a compression-to-tension ratio of ~0.9. The strongly bonded interface acting as a stress transfer medium for the ZK60 sleeve and WE43 core exhibited the coordinated deformation behavior. This finding provides an effective method to decrease the yield asymmetry between tension and compression in the extruded magnesium alloys.