A new product, referred to herein as modified down, was produced by grafting down fiber with zirconium oxychloride. Grafting modification brings new functionalities to down fiber. For example, the warmth retention of modified down is greatly improved. The reaction mechanism and reason for the improved warmth retention of the modified down was investigated. Using response surface methodology (RSM), we found that the optimal preparation conditions for modified down were 15.1% zirconium oxychloride, 15.06% sodium tripolyphosphate, and 1.39 h duration. The warmth retention of the modified down was 80.95%, the CLO value increased by 35.38%, the thermal resistance increased by 35.43%, the filling power substantially increased by 31.35%. The zirconium oxychloride was successfully modified and grafted onto the down fiber, as was confirmed by scanning electron microscopy, energy-dispersive X-ray spectroscopy, Fourier transform infrared spectroscopy, and thermogravimetric analysis. The ultimate residual quantities of the modified down fibers were 30.06%. The results show that the active groups of zirconium and down fibers firmly combined via chemical bonds, which made the warmth retention of modified down a lasting property.