This study reports on the synthesis and microstructural evaluation of ZrB2/ZrO2 ceramic powders prepared by milling-assisted magnesiothermic reduction of oxide raw materials. Powder blends containing ZrO2, B2O3 and Mg reactants were milled in different type of mills at different durations and were subsequently annealed in a tube furnace under Ar atmosphere. An additional purification step (HCl leaching) was conducted on the milled and annealed samples to obtain only Zr-based products. FactSageTM thermochemical software was used in order to show a preliminary route for the experiments. The effects of milling duration (up to 100 h), milling type (a SPEXTM 8000D Mixer/Mill and a planetary ball mill), excess Mg amount (5–20 wt.%) and annealing duration (6 and 12 h) on the formation and microstructure of the products were examined. The milled, annealed and leached products were characterized using an X-ray diffractometer (XRD), stereomicroscope (SM), scanning electron microscope (SEM) and differential scanning calorimeter (DSC). Pure ZrB2/ZrO2 ceramic powders having particles in size range of 200 nm–1 μm and containing two different crystal structures of ZrO2 phase (monoclinic and tetragonal) were obtained after milling in the SPEXTM 8000D Mixer/Mill for 30 h, annealing at 1200 °C for 12 h and leaching with 5 M HCl.