High mechanical load‐carrying capability and thermal insulating performance are crucial to thermal‐insulation materials under extreme conditions. However, these features are often difficult to achieve simultaneously in conventional porous ceramics. Here, for the first time, we report a multiscale structure design and fast fabrication of 9‐cation porous high‐entropy diboride ceramics via an ultrafast high‐temperature synthesis technique that can lead to exceptional mechanical load‐bearing capability and high thermal insulation performance. With the construction of multiscale structures involving ultrafine pores at the microscale, high‐quality interfaces between building blocks at the nanoscale, and severe lattice distortion at the atomic scale, our materials with a ∼50% porosity exhibit an ultrahigh compressive strength of up to ∼337 MPa at room temperature and a thermal conductivity as low as ∼0.76 W m−1 K−1. More importantly, they demonstrate exceptional thermal stability, with merely ∼2.4% volume shrinkage after 2000°C annealing. They also show an ultrahigh compressive strength of ∼690 MPa up to 2000°C, displaying a ductile compressive behavior. The excellent mechanical and thermal insulating properties offer an attractive material for reliable thermal insulation under extreme conditions.This article is protected by copyright. All rights reserved