In this study, ultrafine-grained LaB₆–ZrB₂ composite ceramics were successfully synthesized by sintering a mixture of self-produced LaB₆ nanopowder and commercial ZrB₂ nanopowder under high pressure. Compared with their coarse-grained counterparts, ultrafine-grained ceramics exhibit improved mechanical properties. Notably, the ultrafine-grained LaB₆–ZrB₂ composite ceramic sintered at 4 GPa and 1673 K, with an average grain size of 286 nm, shows optimal mechanical performance characterized by a Vickers hardness of 25.6 GPa, a fracture toughness of 4.1 MPa·m^1/2, and an elastic modulus of 338 GPa. Furthermore, the ultrafine-grained LaB₆–ZrB₂ composite ceramics displayed strong thermal emission, reaching a maximum current density of 27.5 A∙cm⁻² at 1773 K. The structural and functional advantages of ultrafine-grained LaB₆–ZrB₂ composite ceramics render them suitable for potential use in thermionic emission cathodes.