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ZrO2-5CrMnMo composites were fabricated by ceramic injection molding in this research. The hardness and wear properties of ZrO2 ceramic layer and 5CrMnMo substrate were investigated. Moreover, physical properties and microstructures of ZrO2 ceramic coatings were studied and the interfaces of composite samples were observed. The results illustrated that the interface was smooth and properly bonded, and it was concluded that the 5CrMnMo substrate ceramic layer could be provided effectively by ZrO2 ceramic coating. Thermal insulation and thermal shock cycle tests were carried out. The heat insulating property of ZrO2 ceramic coating was remarkable, and even better at a high temperature. The composite samples prepared at 1200 °C did not failed until after more than 68 thermal shocks. The main reasons of limiting the application of this composites so far were still the physical and thermodynamic mismatch between ceramics and steel. But the composite samples fabricated by ceramic injection molding showed excellent thermal shock resistance and high bonding strength in this work.