Molybdenum alloy plates with different ZrO2 volume contents were prepared by liquid-liquid doping. The microstructures were characterized by scanning electron microscope and transmission electron microscope. The mechanical properties of the alloy were tested by microhardness tester and a precision universal testing machine. The addition of sub-micron ZrO2 can significantly reduce the grain size of Mo alloys. For the rolled Mo-0.4% ZrO2 alloy plate, the grain size is 5.8 μm in comparison with 11.2 μm of pure Mo. After vacuum annealing at 1200 °C, the grain size of Mo-0.4% ZrO2 alloy has not obvious change although pure Mo grain size is sharply increased to 30.3 μm. The addition of ZrO2 can increase the recrystallization temperature and improve mechanical properties of Mo alloy. The recrystallization temperature of Mo-0.4% ZrO2 is increased by 200–300 °C as analyzed by microscopic morphology and EBSD results. The elongation of Mo-0.4% ZrO2 annealed at 1200 °C reached 49% and the strength remained at 482 MPa, which were 120% and 35 MPa higher than that of pure Mo, respectively. The addition of ZrO2 can change the slip system of Mo alloy from {110}〈111〉 to {123} 〈111〉, which increases the number of slip systems in the Mo alloy and thus increases the elongation of the Mo alloy. The strengthening model was built and strengthening mechanism clarified.