This study highlights the application of high-energy synchrotron X-rays to investigate the hetero-nanostructure formation during the mechanical bonding of separate sheets of Aluminum (Al) and Magnesium (Mg) by high-pressure torsion (HPT) processing and its in-situ heating polymorphous phase transformation. Earlier studies demonstrated the formation of a homogeneous nanostructure with grain sizes of 30-40 nm resulting in an Al alloy in a Mg-supersaturated metastable state through a severe shear strain of γ ≈ 4000 by HPT at room temperature. While lab-scale X-ray diffraction analysis reveals the presence of heterogeneity in chemical composition, micro-beam synchrotron high-energy X-ray diffraction (HEXD) analysis displays the transition to form such hetero-nanostructure from the dissimilar metals during HPT. The HEXD measurement reveals the strain-dependent phase transformations from separate f.c.c. Al-rich and h.c.p. Mg-rich phases at the locations having γ < 2500 to a single f.c.c. Al supersaturated phase in solid solution, with an average Mg concentration of ~15 at.% at γ > 2500. The elevated temperature evolution of the supersaturated single-phase Al-Mg alloy is characterized further by in-situ micro-beam HEXD upon heating up to 850K, unravelling the microstructural recovery of such nanostructured metastable alloy. Besides the general microstructural evolution with increasing temperature, nucleation and dissolution of several different intermetallic phases are apparent from the evaluation of peak profiles with temperature. The application of these novel diffraction techniques at specific testing conditions provides a significant opportunity to understand the position- and time-sensitive and temperature-resolved microstructural evolution in nanostructure materials.