The thermal shock resistance (TSR) of sintered magnesia aggregates which were modified by vacuum impregnation with a nano-ZrO2-alcohol suspension, and the influence of the modified aggregates on the thermal shock performance of MgO–C slide plate materials were studied. The results showed that the TSR of the nano-ZrO2 modified magnesia aggregates increased; the hot modulus of rupture (HMOR) and TSR of the MgO–C slide plate materials also increased with the addition of the modified magnesia aggregates. When the amount of modified magnesia aggregates increased from 0 to 35 wt%, the residual strength ratio increased from 0.743 to 0.821 after thermal shock testing. The increase in the TSR of the MgO–C materials was attributed to the pinning effect of the nano-ZrO2 grains and the phase transformation toughening effect of ZrO2.