Abstract In-situ SiAlON reinforced BN-matrix ceramics were prepared by hot pressing sintering, and the effects of different rare earth oxides on the thermal shock resistance of the materials were investigated. The effects of rare earth oxides on the phase composition, microstructure, bending strength, thermal properties and thermal shock resistance of the composites were studied. The results show that the phase composition and bending strength of ceramics with different rare earth oxides had no obvious change. However, the influence on the thermal expansion coefficient of the material was notable. The thermal expansion coefficient of the ceramics with CeO2 increased by 24.6% compared with Sm2O3 in the test temperature range. After 50 cycles of thermal shock at Δt = 1150 °C, the residual strength of ceramics with CeO2 was down to 157.1 MPa, decreased by 40.6% compared with the one tested in room temperature. And the Sm2O3-added ceramics reduced by 34.7%–167.1 MPa after thermal shock. The decrease of the residual strength of ceramics is mainly caused by the internal stress generated by the mismatch between the growth of quartz and SiAlON phase in the matrix and the thermal expansion coefficient of the matrix. However, no macro cracks were observed on the surface of the samples after thermal shock.