In this paper, coated ZrSiO4-ZrB2 powder was prepared by sol-gel method. The ZrSiO4 coating can improve the oxidation resistance of ZrB2 at high temperature. The effect of N (nZrSiO4/nZrB2), sintering temperature, holding time and catalytic hydrolysis condition of tetraethoxysilane (TEOS) on coated ZrSiO4-ZrB2 powder was discussed. The modern testing techniques such as XRD, SEM and TG-DSC were used to analyze the crystal phase compositions, microstructures and the oxidation resistance property. The results of experiments showed that the oxidation resistance of coated ZrSiO4-ZrB2 powder was excellent when N is 0.7, and TEOS is alkaline-catalyzed hydrolyzed.