The Mo-Si-B, Mo-Zr-Si-B, and Mo-Hf-Si-B coatings were deposited by magnetron sputtering of the MoSi2-MoB, MoSi2-MoB-ZrB2 and MoSi2-MoB-HfB2 targets. The composition and structure of coatings were investigated by glow discharge optical emission spectroscopy, scanning electron microscopy, X-ray diffraction, transmission electron microscopy, X-ray photoelectron and Raman spectroscopy. Mechanical properties were measured by nanoindentation method. The short-time oxidation resistance of coatings was evaluated at temperatures of 1100, 1300, and 1500 °C. The results showed that all coatings deposited onto alumina substrates were characterized by a dense columnar structure. Mo-Si-B coatings contained phases of hexagonal h-MoSi2 and amorphous a-MoB. With the addition of Zr and Hf, an increase in the lattice parameter and a decrease in the grain size of h-MoSi2 by 50 and 25%, respectively, were observed. The base Mo-Si-B coating had a high hardness of 30 GPa. The introduction of Zr and Hf led to a decrease in hardness by 24 and 20%, respectively. The Mo-Si-B coating was characterized by a minimal oxidation depth (<10 nm) at 1100 °C and 1300 °C, but a network of cracks that penetrated to the substrate was formed. Cracks on the surface of the Mo-Zr-Si-B and Mo-Hf-Si-B coatings were not observed; the formation of oxide layers, 0.3–2.0 μm thick, was revealed. The oxidation resistance of coatings at temperature of 1500 °C increased in direction Mo-Si-B → Mo-Hf-Si-B → Mo-Zr-Si-B. The best results for the Mo-Zr-Si-B coating were associated with a smaller grain size, higher thermal stability, and the formation of a protective layer based on SiO2 with the inclusion of ZrO2 crystallites.