The application of magnesium alloys to automobiles is increasing due to their superior specific strength and specific stiffness. In this study, an upper sheet of AZ31 magnesium alloy and a lower sheet of cold-rolled steel were joined by self-piercing riveting (SPR), a method commonly used to join automotive panels. A cross-shaped specimen was fabricated with a punching force of 35 kN, which exhibited the best joint strength for the SPR joint specimen geometry. Monotonic and fatigue strengths were evaluated using cross-shaped specimens at loading angles of 0°, 45°, and 90°. The load amplitude corresponding to the fatigue endurance limit was assumed to be at 106 cycles, and the fatigue ratios (= fatigue endurance limit/static strength) at the loading angles of 0°, 45°, and 90° are 22%, 13%, and 9%, respectively. For all three loading angle specimens, fatigue cracks initiated at the triple point where the rivet shank, the upper sheet and the lower sheet are in contact with each other, with the cracks propagating through the thickness of the upper sheet and ultimately leading to fracture. The fatigue lifetimes were evaluated through the von-Mises stress, maximum principal stress, and equivalent stress intensity factor. It was found that the fatigue lifetimes could be evaluated most appropriately through the maximum principal stress.