Mo-Si-B and Mo-Al-Si-B coatings were deposited by DC magnetron sputtering of MoSiB and MoAlSiB composite targets fabricated by the self-propagating high-temperature synthesis method. The structure, element and phase composition of coatings were studied by means of scanning and transmission electron microscopy, X-ray diffraction, X-ray photoelectron spectroscopy, energy-dispersive spectroscopy, and glow discharge optical emission spectroscopy. To evaluate their oxidation resistance, the coatings were annealed in air in the temperature range of 1200–1700°C during different time slots between 10min and 5h. The obtained results demonstrated that the Mo-Si-B coatings possess higher hardness, improved oxidation resistance and better thermal stability compared with their Mo-Al-Si-B counterparts. The 7-μm thick Mo-Si-B coatings were shown to successfully withstand oxidation during short-time exposure for 10min at a temperature as high as 1700°C due to the formation of protective silica scale. The oxidation of Mo-Al-Si-B coatings was accompanied by the diffusion of aluminum to the coating surfaces and the formation of a single Al2O3 layer at 1200–1300°C and a double Al2O3-SiO2 layer at 1500°C which were less protective against oxidation. The surface oxidation processes were also accompanied by phase transformations inside the oxygen-free part of both Mo-Si-B and Mo-Al-Si-B coatings with the formation of MoB and Mo5Si3 phases.