The problem of creating and implementing high-temperature coatings for the protection of carbon–carbon (C/C) composites remains relevant due to the extremely low or insufficient heat resistance of C/C composites in an oxygen-containing environment. In the present work, detonation spraying was used for preparing new ZrB2–35MoSi2–10Al coatings on the surface of C/C composites without a sublayer. As a stabilizer of high-temperature modification of zirconia, and to increase the wettability of the surface of C/C composites, 5 wt.% Y2O3 and 10 wt.% Al were added to the initial powder mixture, respectively. The structure of the as-sprayed coating presents many lamellae piled up one upon another, and is composed of hexagonal ZrB2 (h- ZrB2), tetragonal MoSi2 (t-MoSi2), monoclinic ZrO2 (m-ZrO2), tetragonal ZrO2 (t-ZrO2), monoclinic SiO2 (m-SiO2), and cubic Al phases. The oxidation behavior and microstructural evolution of the ZrB2–35MoSi2–10Al composite coating were characterized from RT to 1400 °C in open air. During oxidation at 1400 °C, a continuous layer of silicate glass was formed on the coating surface. This layer contained cubic ZrO2 (c-ZrO2), m-ZrO2, and small amounts of mullite and zircon. The results indicated that a new ZrB2–35MoSi2–10Al composite coating could be used on the surface of C/C composites as a protective layer from oxidation at elevated temperatures.