To enhance the oxidation resistance of Mo-based TZM alloy (Mo-0.5Ti-0.1Zr-0.02C, wt%), a novel MoSi2-ZrB2 composite coating was applied on the TZM substrate by a two-step process comprising the in situ reaction of Mo, Zr, and B4C to form a ZrB2-MoB pre-layer followed by pack siliconizing. The as-packed coating was composed of a multi-layer structure, consisting of a MoB diffusion layer, an MoSi2-ZrB2 inner layer, and an outer layer of mixture of MoSi2 and Al2O3. The composite coating could provide excellent oxidation-resistant protection for the TZM alloy at 1600 °C. The oxidation kinetic curve of the composite coating followed the parabolic rule, and the weight gain of the coated sample after 20 h of oxidation at 1600 °C was only 5.24 mg/cm2. During oxidation, a dense and continuous SiO2-baed oxide scale embedded with ZrO2 and ZrSiO4 particles showing high thermal stability and low oxygen permeability could be formed on the surface of the coating by oxidation of MoSi2 and ZrB2, which could hinder the inward diffusion of oxygen at high temperatures. Concurrently, the MoB inner diffusion layer played an important role in hindering the diffusion of Si inward with regard to the TZM alloy and could retard the degradation of MoSi2, which could also improve the long life of the coating.