1) Post a diagram for better understanding. For example, you did not say this, but I am assuming the two shafts are being joined end to end and are on the same axis. Not perpendicular to each other.
2) Do the shafts HAVE to be two different diameters? If not, you could have one continuous shaft with no joint.
3) Weld them.
There are other options depending on the details of your arrangement.