Multi-phase ceramics based on ZrB<sub>2</sub>, TiB<sub>2</sub> and doped with CrB<sub>2</sub> and SiC were prepared by powder metallurgy and hot pressing to explore the possibility of obtaining multi-scale microstructures by super-saturation of complex (Zr,Ti,Cr)B<sub>2</sub> solid solutions. Core–shell structures formed in TiB<sub>2</sub> grains, whereas ZrB<sub>2</sub> appeared to form a homogeneous solid solution with the other metals. Precipitation of nano-inclusions within both micron-sized borides was assessed by transmission electron microscopy and thermodynamics elucidated the preferential formation of boride inclusions due to the specific sintering atmosphere. In addition, atomic size factors explicated the precipitation of CrB<sub>2</sub> nano-particles into ZrB<sub>2</sub>-rich grains and of ZrB<sub>2</sub> nano-particles into TiB<sub>2</sub>-rich grains. The hardness of the constituent phases measured by nanoindentation ranged from 36 to 43 GPa.