Two kinds of ultra high temperature ceramics (UHTC), ZrB2-20Vol.%SiC and ZrB2-15Vol.% SiC-5Vol.% SiCn (nano-size) were prepared by spark plasma sintering (SPS). The residual strength was used to characterize thermal shock resistance of ZrB2-SiC ceramics by quenching tests in the water. The mechanism of thermal shock damage of the ceramics was examined by SEM analysis. The results showed that the formed glassy phase has significant effect on thermal shock resistance of ZrB2-SiC ceramics. When the thermal shock temperature rises, the residual strength of ZrB2-SiC ceramics after thermal shock will decrease gradually. The formed glassy phase when quenched from the temperature of 1400°C can repair or heal the cracks and induce the higher residual strength. However, when the temperature increases to 1600°C, the residual strength of ZrB2-SiC ceramics decreases significantly due to the volatilization of the glassy phase. The residual strength of ZrB2-15Vol.% SiC-5Vol.% SiCn ceramic is higher than that of ZrB2-20Vol.%SiC ceramic, because nano SiC is easy to be oxidized and to induce the formation of more glassy phases and to improve the thermal shock resistance of the sample.