The TiNbZr/(Ti, Nb)B metal matrix composite with 2.5 vol.% of borides was produced by vacuum arc melting. The composite was then cold-rolled to thickness strains of 10, 20, 50, or 80%. In the initial condition, the composite had a network-like microstructure consisting of the soft TiNbZr matrix (dendrites) and the rigid (Ti, Nb)B shell (interdendritic space). In comparison with the as-cast condition, cold rolling increased strength by 17–35%, depending on the thickness strain. After the maximum thickness strain of 80%, yield strength and ultimate tensile strength of the composite achieved 865 and 1080 MPa, respectively, while total elongation was found to be 5%. Microstructural analysis revealed that cold rolling to 50% resulted in the formation of crossing shear bands caused by the considerable difference in deformation behavior of the matrix and reinforcements. Cold rolling to 80% led to the formation of a lamellar-like microstructure comprising the interlayers of the (Ti, Nb)B phase between the TiNbZr laths. The maximum strain (80% cold rolling) shortened the (Ti, Nb)B fibers into nearly equiaxed particles, with a length to diameter ratio of ~2.