Coatings in a Zr-Mo-Si-B-N system were deposited by the magnetron sputtering of ZrB₂-MoSi₂ targets in argon and nitrogen. The structure of the coatings was investigated using scanning electron microscopy, X-ray diffraction, energy-dispersive spectroscopy, and glow-discharge optical emission spectroscopy. Mechanical and tribological properties were measured using nanoindentation and pin-on-disc testing. Oxidation resistance and oxidation kinetics were estimated via annealing in air at 1000–1500 °C and precision weight measurements. We found that the coatings deposited in Ar demonstrate a superior combination of properties, including hardness of 36 GPa, elastic recovery of 84%, a friction coefficient of 0.6, and oxidation resistance at temperatures up to 1200 °C. High oxidation resistance is realized due to the formation of the protective (SiO₂ + ZrO₂)/SiO₂ oxide layer, which inhibits the diffusion of oxygen into the coating.