The application of ceramics matrix composites (CMCs) in extreme environments is often dictated by the oxidation resistance of SiC fibers, which are frequently utilized as the reinforcement of CMCs. Introducing heterogeneous elements into SiC fibers is one effective way to enhance their oxidation resistance. In this work, the chemical composition, microstructural evolution, phase evolutions, and tensile strength of the newly developed Zr-containing Zeralon 200™ SiC fiber oxidation-treated at elevated temperatures in an air atmosphere for 5 h was investigated in depth, using transmission electron microscope (TEM), X-ray diffractometer (XRD), X-ray photoelectron spectroscopy (XPS), energy dispersive spectroscope (EDS), field emission scanning electron microscopy (FESEM), thermogravimetric analysis (TGA), and Raman spectroscopy (Raman). Results indicate that the Zeralon 200™ SiC fiber has a significantly better oxidation resistance than some typical non-heterogeneous element SiC fibers. ZrSiO4 was found to generate in the fiber after oxidation treatment at 1100 °C for 5 h. The specific generation mechanism of ZrSiO4 and its oxidation resistance mechanism in the Zeralon 200™ SiC fiber were revealed. Meanwhile, the degradation mechanism of the tensile strength of Zeralon 200™ SiC fiber was discussed in detail. In short, the decline in the tensile strength of Zeralon 200™ SiC fiber can be ascribed to the decomposition of the amorphous phase SiCxOy, the enlargement of defects within the fiber bulk, and the decrease in the effective load-bearing cross-sectional area of the fiber caused by extensive oxidation, sequentially occurring at various elevated temperatures.