Coarse‐grained composites of refractory ceramics and refractory metals are a novel approach for materials at application temperatures up to 1500 °C. Al2O3 and the refractory metals Nb and Ta are suitable candidates for enhanced thermal shock capability, as they show similar thermal expansion. During fabrication, a key aspect to consider is the possible formation of additional phases upon interaction of the constituent phases as well as through reaction with the environment. X‐Ray diffraction (XRD) and investigations of the microstructure with scanning electron microscopy methods unveil Al2O3–Nb composite to form NbO, whereas for Al2O3–Ta the ternary compound aluminum tantalate (AlTaO4) is found. Thermodynamic calculations show that the changing oxygen solubility in Nb accounts for the formation of NbO, and explain the absence of a corresponding niobate (AlNbO4) phase. AlTaO4 is identified as the disordered tetragonal high‐temperature modification.