A novel TiB2-CeO2-modified (Nb,Mo,Cr,W)Si2 coating was prepared on a Nb-5W-2Mo-1Zr alloy substrate using two-step slurry sintering and halide-activated pack cementation to address the limitations of a single NbSi2 coating in meeting the service requirements of niobium alloys at elevated temperatures. At 1700 °C, the static oxidation life of the coating exceeded 20 h, thus indicating excellent high-temperature oxidation resistance. This was due to the formation of a TiO2-SiO2-Cr2O3 composite oxide film on the coating surface, which, due to low oxygen permeability, effectively prevented the inward infiltration of oxygen. Additionally, the dense structure of the composite coating further enhanced this protective effect. The composite coating was able to withstand over 1600 thermal shock cycles from room temperature to 1700 °C, and its excellent thermal shock performance could be attributed to the formation of MoSi2, CrSi2, and WSi2 from elements such as Mo, Cr, and W, which were added during modification. In addition to adjusting the difference in thermal expansion coefficients between the layers of composite coatings to reduce the thermal stress generated by thermal shock cycles, the formation of silicide compounds also improved the overall fracture toughness of the coating and thereby improved its thermal shock resistance.