MgO-CaO materials is one type of the refractories for substitution of MgO-Cr2O3 refractories that has been widely used in metallurgy and cement industries, but the application of MgO-CaO materials has been inhibited for its poor thermal shock resistance that is often improved by addition of ZrO2 but it results in increase of the cost. The present work investigated preparation of MgO-CaO materials by addition of nano-sized ZrO2. The results showed that the densification of the MgO-CaO refractories was promoted and the direct bonding rate of the materials was increased by addition of nano-sized ZrO2. The thermal shock resistance of the MgO-CaO refractories was appreciably improved by modification of the microstructure due to the formed fine CaZrO3 crystallines homogenously locating on the grain boundaries and triple points of the whole microstructure. The critical amount of ZrO2 addition for the purpose to improve thermal shock resistance was effective decreased.