The diffusion welded joint of oxide dispersion strengthened tungsten (ODS-W) and Mo-Ti-Zr-C alloy (TZC) was successfully fabricated with the use of spark plasma sintering (SPS) at a vacuum level of 10 Pa. This study systematically investigates the microstructure, mechanical performance, and thermal shock resistance of the ODS-W/TZC connector at four different temperatures, ranging from 1300 to 1600 °C. The diffusion distance between the W and Mo atoms at the interface of ODS-W/TZC joint raises as the sintering temperature increases, with a maximum diffusion distance of up to 2 μm at 1500 °C, but then slightly decreases at 1600 °C. The ODS-W/TZC connector bonded at 1500 °C exhibits the best tensile performance, with tensile strengths of 459 MPa and 786 MPa at room temperature and 500 °C, respectively. A maximum hardness of 446 HV is obtained at the interface when the sample is sintered at 1600 °C. Thermal shock tests are conducted on the surface and interface of the ODS-W/TZC connector sintered at various temperatures. ODS-W/TZC samples prepared below 1500 °C were severely damaged, leading to exfoliation after laser thermal shock, while samples prepared above 1500 °C produced fewer damage cracks. Confocal laser scanning microscope (CLSM) analysis demonstrated that the ODS-W/TZC joint fabricated at 1500 °C exhibited substantially reduced height perturbation of both its surface and interface compared to that of ODS-W, providing evidence for its superior thermal shock resistance.