MgO-PSZ tubes used in metallurgical oxygen sensors were prepared by powder injection molding process. The microstructure was characterized by SEM, XRD and Thermomechanical Analyzer. The sintered tubes were assembled into oxygen sensors and tested in RH vessel. SEM images demonstrated that there were few pores in the tubes. The optimum injection pressure for the present organic binder is 20~30 MPa. XRD demonstrated that cubic, tetragonal, and monoclinic phase coexisted in the tube and the main phase is monoclinic phase. The results show a few monoclinic phase should be helpful for the thermal shock resistance. The thermal shock resistance of MgO-PSZ tubes was enough to determinate the active oxygen concentration in the steel melt.