TiB2/ZrO2 multilayers with different modulation ratios (at a fixed modulation period of 50 nm) ranging from 2:1 to 6:1 were deposited by magnetron sputtering. The oxidation behavior of the as-deposited multilayers was investigated at 600 °C in air. The microstructures, mechanical properties, and oxidation resistance of the multilayers were analyzed and compared. The results indicate that discontinuous oxidation retarded the inward diffusion of oxygen and the outward diffusion of metallic components. The formation of dense (Ti, B)-oxide scale and internally inserted ZrO2 layers in the TiB2/ZrO2 multilayers enhanced the oxidation resistance. Moreover, the oxidation resistance of the multilayers increased as modulation ratio decreased. The hardness and elastic modulus of the TiB2/ZrO2 multilayers were maximized (23.9 and 303.1 GPa, respectively) at the modulation ratio of 6:1. After annealing, the formation of thick ZrO2 layers did not lead to sustained increases in hardness. The maximum hardness and elastic modulus were obtained at the critical modulation ratio of 4:1, and good adhesion strength with the substrate was also observed. The oxidation mechanism and experimental results demonstrate that controlling the modulation ratio of multilayers can produce synergetic enhancements in the oxidation resistance and mechanical properties of multilayers after high-temperature oxidation.