This paper presents the comparison of the microstructure of the interface zone formed between titanium (Ti Gr. 1) and steel (P265GH+N) in various processing stages—directly after explosive welding versus the annealing state. Transmission electron microscopy technique served as an excellent tool for studies of the sharp interface in-between the waves. Directly after the welding process in this area, a thin layer of the metastable β-Ti (Fe) solid solution was observed. In the next step, two variants of annealing have been employed: ex situ and in situ in TEM, which revealed the complete information on the interface zone transformation. The results have shown that during the annealing at 600°C for 1.5 h, the diffusion of carbon towards titanium caused the formation of titanium carbides with a layered arrangement. Compared to our previous studies, the carbides found here have a hexagonal structure. Furthermore, changes in the dislocation structure were observed, indicating the occurrence of recovery processes. Possible reasons for differences observed in the microstructure of the interface formed due to ex situ and in situ annealing are also discussed. The microstructure observations are accompanied by the microhardness measurements, which showed that the annealing caused a significant reduction in the microhardness values.