The critical heat exchange components in boilers (water wall tubes, superheater tubes, reheater tubes, and economizer tubes) are susceptible to premature failure under high temperature, high pressure, and complex corrosive media. This remains a significant challenge for the reliability and economic operation of thermal power plants, especially with the trend towards higher parameters and capacities. Statistics indicate that failures of these components account for nearly half of all unplanned shutdowns in power plants, approximately 60% of which are directly attributable to high-temperature corrosion, resulting in substantial economic losses. A primary cause of such failures is hot corrosion induced by the deposition of molten salts such as NaCl, KCl, and Na₂SO₄, which originate from impurities in low-grade coals or biomass fuels. These salts form low-melting-point eutectic mixtures that destroy protective oxide scales and initiate catastrophic corrosion. To mitigate this issue, thermal spray coatings, particularly those applied via high-velocity oxygen-fuel (HVOF) spraying technology, offer an effective solution due to their low flame temperature, high deposition efficiency, and excellent bond strength. While traditional NiCrBSi coatings provide good protective properties, their performance limits are being challenged in increasingly harsh environments. This study introduces ZrB₂ as a reinforcing phase to enhance performance. ZrB₂ possesses an ultra-high melting point and high hardness. Most importantly, it oxidizes to form protective ZrO₂ scales, effectively blocking sulfur and chlorine permeation. However, its standalone use is limited due to poor sintering properties and high brittleness. In this work, NiCrBSi–ZrB₂ composite powders with high sphericity and uniform composition were successfully prepared through planetary ball milling, spray granulation, and vacuum sintering. Subsequently, dense and well-bonded composite coatings were fabricated using the HVOF spraying process. The hot corrosion behavior of the coating was systematically investigated in a NaCl–KCl–Na₂SO₄ molten salt mixture at 600, 700, and 800 °C for 100 h. The results demonstrated that the composite coating exhibited a dense layered structure with a bond strength exceeding 70 MPa and uniform distribution of phases. The hot corrosion resistance was highly temperature-dependent. At 600 °C, the coating displayed optimal performance with a mere weight gain of (13.13 ± 0.08) mg/cm² and a kinetic constant of 1.19 mg²/(cm⁴·h). Analysis via XRD, SEM, EPMA, and TEM revealed that the corrosion products primarily consisted of protective oxides (such as ZrO₂, SiO₂, and Cr₂O₃) alongside spinels and chromates (including NiCr₂O₄, K₂CrO₄, and Na₂CrO₄). The preferentially formed ZrO₂ and SiO₂ created a mixed oxide layer that acted as a robust barrier, significantly hindering the diffusion of corrosive elements and resisting alkaline dissolution. Thermodynamic analysis indicated that the ZrCl₄ and SiCl₄ generated within the coating possessed low oxidation Gibbs free energy, leading to a sluggish oxidation process that effectively interrupts the destructive chlorine cycle and reduces the corrosion rate. However, at 800 °C, the chlorination-oxidation cycle accelerated dramatically. The thermal stress generated within the oxide scales exceeded their cohesive strength, leading to extensive cracking and spallation. Consequently, the corrosion rate increased significantly, and the protective capability deteriorated. This study identified a critical temperature threshold of approximately 700 °C for the safe long-term application of this coating.