Inorganic nanocomposites made of an inorganic matrix containing nanoparticle inclusions provide materials of advanced mechanical, magnetic, electrical properties and multifunctionality. The range of compounds that can be implemented in nanocomposites is still narrow and new preparation methods are required to design such advanced materials. Herein, we describe how the combination of nanocrystal synthesis in molten salts with subsequent heat treatment at a pressure in the GPa range gives access to a new family of boron-based nanocomposites. With the case studies of HfB2/β-HfB2O5 and CaB6/CaB2O4(iv), we demonstrate by X-ray diffraction and through (scanning) transmission electron microscopy the crystallization of borate matrices into rare compounds and unique nanostructured solids, while metal boride nanocrystals remain dispersed in the matrix and maintain small sizes below 30 nm, thus demonstrating a new multidisciplinary approach toward nanoscaled heterostructures.