Fe₂AlB₂ powder material was prepared by the direct reaction of iron, aluminum and boron powders in a tubular furnace. The effects of different Al contents, temperature and raw material pretreatment on the purity of product were studied. The mixed powder with the stoichiometric ratio of 1.5Al/2Fe/2B was processed by CIP (Cold Isostatic Pressing), and then calcined at 1150 ℃ for 120 min. The product containing a small amount of impurities is treated with alkaline solution to obtain high-purity Fe₂AlB₂ powder. ZrB₂-Fe₂AlB₂ composite ceramic was successfully prepared at 1250 ℃ by hot pressing sintering. The density, hardness and fracture toughness were 96.2%, 22 ± 0.3 GPa and 5.78 ± 0.5 MPa·m^1/2, respectively.