Laminated shafts are often used as alternatives to elemental metal shafts, which are prone to corrosion and wear. However, manufacturing laminated shafts is difficult. In this paper, a laminated shaft production method involving cross-wedge rolling was proposed. The cross-wedge rolling of 42CrMo/Q235 laminated shafts was numerically simulated using ANSYS/LS-DYNA software. The deformation characteristics and stress distribution laws of the 42CrMo/Q235 laminated shafts in the knifing zone and stretching zones were obtained. The formation mechanisms of the stress distributions were analyzed, and the theoretical significance of the interface bonding on the cross-wedge-rolled 42CrMo/Q235 laminated shafts was discussed. Furthermore, the feasibility of 42CrMo/Q235 laminated shaft production via cross-wedge rolling was validated. Theoretical foundations were also provided for use in future studies concerning the rolling lamination mechanisms of dissimilar-metal laminated shafts.