Poor oxidative performance limits the applications of refractory alloys due to the non-protective nature of their oxide scales. B-modified MoSi2 coating is a widely investigated protective coating system for refractory alloys developed in recent decades. To further modify the oxidation resistance of Mo-Si-B coatings, Mo-W-Si-B coatings are synthesized in situ on the surfaces of Mo-20W alloy substrates using a halide-activated pack-cemented SiB co-deposition process, and their isothermal oxidation behavior at 1200 and 1650 °C in static air is investigated. The results indicate that the Mo-W-Si-B coatings have better oxidation resistance than Mo-Si-B coatings at both temperatures. Fewer mass changes of −4.36 and −0.39 mg/cm2 were obtained by the Mo-W-Si-B coatings at 1200 °C for 1000 h and 1650 °C for 4 h, respectively. The oxidation process of the Mo-W-Si-B coatings was elaborated on, and the improved performance was attributed to the slower Si consumption and better stability of the borosilicate scale in the Mo-W-Si-B coatings.