Zirconia (ZrO₂) ceramics have excellent mechanical properties, but its application is limited by ZrO₂-AlN low thermal conductivity (TC). Zirconia-aluminum nitride (AlN) composite ceramics ZrO₂-AlN with high TC were designed and successfully fabricated by microwave sintering. After optimization of preparation conditions, the reaction between two substances was inhibited and the dense composite (relative density>99%) was obtained. The microstructure evolution, thermal behavior and mechanical properties were investigated in detail. The room temperature thermal conductivity, thermal diffusion coefficient and thermal capacity of ZrO₂-AlN composites increase with AlN content increasing, reaching 41.3 W/(m·K), 15.2 mm²/s and 0.6 J/(g·K), respectively. Such ZrO₂-AlN composites with high thermal conductivity and improved thermal shock resistance have broad application prospects in the field of high temperature heat exchange materials of energy systems.