Aerospace provides a strong driving force for technological development. Recently a novel class of composites for harsh environments, based on ultra-high temperature ceramic composites reinforced with continuous fibers (UHTCMC), is being developed. The goal of this work is to overcome the current data patchwork about their microstructural optimization and structural behavior, by showing a consistent mechanical characterization of well-defined and developed UHTCMCs based on ZrB2-matrix. The obtained composites have a density of 3.7 g/cm3 and porosity of less than 10%. The flexural strength increased from 360 to 550 MPa from room temperature to 1500 °C, showing a non-brittle behaviour. The composites were able to sustain a thermal shock severity as high as 1500 °C. The maximum decrease of strength at 1400 °C was 16% of the initial value, indicating that the samples could be shocked at even higher temperature. Flexural strength, Young's modulus and coefficient of thermal expansions (CTE) of the composites were measured both along transverse and longitudinal direction and correlated to the microstructural features. The presented microstructural and mechanical characterization well defines the potentiality of the UHTCMCs and can be used as reference for the design and development of novel thermal protection systems and other structural components for harsh environments.