In order to overcome the serious corrosion problem of furnace hearth refractory materials for smelting reduction ironmaking, the Cr2O3–Al2O3–MgO–ZrO2 refractories were synthesized, and the phase component, microstructure, mechanical characteristics, and slag erosion behavior of composite refractories were investigated and evaluated. The results indicate that the composite refractories mainly consist of Mg(Al, Cr)2O4 spinel phase, (Al, Cr)2O3 solid solution and ZrO2. The content of Mg (Al, Cr)2O4 spinel significantly increases with the increasing MgO content, while the content of (Al, Cr)2O3 obviously decreases. Furthermore, the comprehensive mechanical properties of the MgO modified composite refractories can be obviously enhanced by increasing the MgO content, and sample S4 presents the best mechanical characteristics when the MgO addition is 10 wt%. The corresponding hardness, compressive strength and bending strength are 14.22 GPa, 267.14 MPa and 80.0 MPa, respectively. This is mainly because the formation of Mg(Al, Cr)2O4 significantly improves the densification of composite refractories, and a large number of high-strength Mg (Al, Cr)2O4 spinel “bridge” formed between the large-sized (Al, Cr)2O3 grains. The erosion test results indicate that increasing the MgO content can significantly improve the slag infiltration resistance of composite refractories, because the formation of Mg (Al, Cr)2O4 spinel layer significantly improves the densification of MgO reinforced composite refractories. Although the slag corrosion resistance of Mg(Al, Cr)2O4 is lower than that of (Al, Cr)2O3, the Cr2O3–Al2O3–MgO–ZrO2 refractories still presents good erosion resistance, permeability resistance, and excellent mechanical characteristics.