We show that steel-magnesium alloy laminated metal composites (LMCs) can be produced by gas pressure infiltration of a liquid magnesium alloy between layers of stacked dimpled steel sheets. Resulting LMCs are amenable to subsequent warm rolling. The LMCs are free of pores or brittle intermetallics and feature, in the as-cast condition, metal layers of uniform thickness and spacing. The ultimate tensile strength of the as-cast LMCs, of 260 MPa, obeys the "rule-of-mixtures" (ROM). The uniform tensile elongation, of around 20 pct, makes the infiltrated LMC nearly as ductile as the bulk steel it contains, implying that the magnesium alloy in the as-cast LMCs has a substantially increased tensile ductility in comparison to its metallurgically equivalent bulk state. Rolling reduces the metal layer thicknesses, causes waviness in the interface, and makes the LMCs stronger but less ductile, by factors in the vicinity of 2 for both properties; the main cause for this is work hardening in the steel layers.