The gradient Cf/ZrB2–SiC composites can exert the dual advantages of low-density and excellent heat resistance, but which have the complex mechanical properties due to the inhomogeneous geometry characteristics. The in-plane compressive behavior and failure analysis can examine the material integrity and the effect of inhomogeneous characteristics. The in-plane compressive elastic modulus distribution is expressed mathematically by using the superficial elastic modulus, back elastic modulus, and the gradient pore distribution. The superficial elastic modulus and the gradient pore distribution of the gradient materials were characterized by nanoindentation test and Micro-CT statistics. The back of the gradient materials is the porosity needled C/C composites without introducing ZrB2–SiC matrix, whose elastic modulus can be referenced from our previous work. The in-plane compressive experiments of the gradient materials in the high-temperature environment were also conducted to study the failure mechanisms. The strength of the gradient materials is further revealed by the temperature-dependent properties of carbon fibers and thermal residual stress release. The results indicate the gradient structure can effectively eliminate the delamination damage, but the high temperature drastically weakens the ability of needled fibers suppressing delamination damage in the high-porosity region of the gradient materials. This study can be helpful to the material design and evaluation of mechanical properties for the gradient Cf/ZrB2–SiC composites.