Mo-Zr-Si-B coatings were deposited by high-power impulse magnetron sputtering at a pulse frequency of 10, 50, and 200 Hz. The coating structure was studied by scanning electron microscopy, energy-dispersive spectroscopy, glow-discharge optical-emission spectroscopy, transmission electron microscopy, and X-ray diffraction. The mechanical characteristics, adhesive strength, coefficient of friction, wear resistance, resistance to cyclic-dynamic-impact loading, high-temperature oxidation resistance, and thermal stability of the coatings were determined. The coatings, obtained at 10 and 50 Hz, had an amorphous structure. Increasing the frequency to 200 Hz led to the formation of the h-MoSi2 phase. As the pulse frequency increased from 10 to 50 and 200 Hz, the deposition rate rose by 2.3 and 9.0 times, while hardness increased by 1.9 and 2.9 times, respectively. The Mo-Zr-Si-B coating deposited at 50 Hz was characterized by better wear resistance, resistance to cyclic-dynamic-impact loading, and oxidation resistance at 1500 °C. Thermal stability tests of the coating samples heated in the transmission electron microscope column showed that the coating deposited at 50 Hz remained amorphous in the temperature range of 20–1000 °C. Long-term annealing in a vacuum furnace at 1000 °C caused partial recrystallization and the formation of a nanocomposite structure, as well as an increased hardness from 15 to 37 GPa and an increased Young’s modulus from 250 to 380 GPa, compared to those of the as-deposited coatings.