Y2O3 ceramics are increasingly recognized for their excellent vacuum stability and high-temperature chemical stability in the field of functional materials research. However, their poor thermal shock resistance renders them susceptible to spalling and damage during use, thus restricting further applications. To address this issue, the low thermal expansion coefficients of Y2SiO5 materials were leveraged. Through an in situ reaction between SiO2 and Y2O3, a Y2SiO5 phase was generated that induced a thermal expansion mismatch with Y2O3, thereby enhancing the thermal shock resistance of the ceramic. Using Y2O3 fine powder as the primary material, silica sol and nano-SiO2 were selected as reactive silicon sources to prepare Y2O3–Y2SiO5 composite ceramics at 1750 °C. The impact of the different silicon sources and Y2SiO5 phase content on the microstructure, mechanical, and thermal properties of the composite ceramics was studied. The results demonstrated that the in situ formation of Y2SiO5 significantly improved the thermal shock resistance of the composite ceramic. Specifically, increasing the SiO2 content led to a gradual rise in the volume fraction of Y2SiO5 formed between Y2O3 grains, thereby increasing the residual flexural strength and enhancing the hardness and elastic modulus. The low thermal expansion coefficient of Y2SiO5 reduced the overall thermal expansion coefficient of the composite material, thereby improving the thermal shock resistance. Moreover, the thermal expansion coefficient mismatch between the Y2O3 and Y2SiO5 phases induced numerous microcracks within the material, providing thermal stress relief within the microcracks and markedly improving the resistance of the ceramic to thermal shock.