The coatings ZrB2 and Zr-B-N were deposited by magnetron sputtering of ZrB2 target in Ar and Ar–15%N2 atmospheres. The structure and properties of the coatings were investigated via scanning and transmission electron microscopy, energy dispersion analysis, optical profilometry, glowing discharge optical emission spectroscopy and X-ray diffraction analysis. Mechanical and tribological properties of the coatings were investigated using nanoindentation, “pin-on-disc” tribological testing and “ball-on-plate” impact testing. Free corrosion potential and corrosion current density were measured by electrochemical testing in 1N H2SO4 and 3.5%NaCl solutions. The oxidation resistance of the coatings was investigated in the 600–800 °С temperature interval. The coatings deposited in Ar contained 4–11 nm grains of the h-ZrB2 phase along with free boron. Nitrogen-containing coatings consisted of finer crystals (1–4 nm) of h-ZrB2, separated by interlayers of amorphous a-BN. Both types of coatings featured hardness of 22–23 GPa; however, the introduction of nitrogen decreased the coating’s elastic modulus from 342 to 266 GPa and increased the elastic recovery from 62 to 72%, which enhanced the wear resistance of the coatings. N-doped coatings demonstrated a relatively low friction coefficient of 0.4 and a specific wear rate of ~1.3 × 10−6 mm3N−1m−1. Electrochemical investigations revealed that the introduction of nitrogen into the coatings resulted in the decrease of corrosion current density in 3.5% NaCl and 1N H2SO4 solution up to 3.5 and 5 times, correspondingly. The superior corrosion resistance of Zr-В-N coatings was related to the finer grains size and increased volume of the BN phase. The samples ZrB2 and Zr-B-N resisted oxidation at 600 °C. N-free coatings resisted oxidation (up to 800 °С) and the diffusion of metallic elements from the substrate better. In contrast, Zr-B-N coatings experienced total oxidation and formed loose oxide layers, which could be easily removed from the substrate.