Before the use of power hammers and drop forges axes were made by the local blacksmith. An axe head was made of two parts: an iron or softer (and cheaper) steel head and a harder steel bit. The steel bit was forge welded to the blade to create the axe head.
The harder steel bit could be inserted into the softer steel in this manner:
Another technique was to fold the steel bit over the softer iron axe head piece. Below is an old double bit axe head made using this technique:
Blacksmith Steve Ash teaches axe making at the New England School of Metalwork. Here he demonstrates the technique of making a two piece axe head: