Two schemes for fabricating the composite powder ZrB2–TaB2–TaSi2 by SHS are discussed in this study: (1) elemental synthesis in the Zr–Ta–B and Ta–Si mixtures followed by mixing of the combustion products, and (2) elemental synthesis in the Zr–Ta–Si–B mixture. The macrokinetic features of combustion of the Zr–Ta–Si–B mixtures, the mechanism of structure and phase formation in the combustion wave, and the structure and properties of the combustion products were studied. Primary crystals of tantalum and zirconium diborides were formed in the preheating zone as a result of gas-phase mass transfer of boron onto the surface of metal particles. In the combustion zone, melting of Si–B eutectic and Zr particles took place, followed by the formation of borides and silicides of tantalum and zirconium. In the zones of post-combustion and secondary structure formation, zirconium diboride partially interacted with tantalum diboride and formed solid solution (Ta,Zr)B2. Hot pressing of SHS powders produced bulk ceramics with the relative density of 95–98%. Structure and mechanical properties of the hot pressed ceramics depend significantly on the selected scheme of powder synthesis. The ceramics fabricated using scheme 2 have a specific microgradient grain structure and significantly higher hardness and crack resistance (HV10 =19.2 GPa; K1c=3.5 MPa*m1/2) as compared to the similar composite prepared using scheme 1 (13.9 GPa and 2.4 MPa m1/2).