The high-temperature chemical stability and wettability of EC95 powder surface layer, corundum powder surface layer, and zirconium powder surface layer of ceramic shell to DZ125 directional solidification superalloy are comparatively studied by the sessile-drop experiment. The morphology of ceramic surfaces as well as the morphologies and compositions of the interfacial reaction zones between the ceramics and the alloy melt are observed and analysed. The contact angles between the alloy melt and the ceramics are calculated, and the influence of interfacial reactions and wettability on the mechanical penetration defect of the casting surface are discussed. The results show that the surface roughness values of EC95 powder surface layer, corundum powder surface layer, and zirconia powder surface layer ceramics are 3.987, 3.391 μm, and 2.085 μm, respectively. The interfacial reaction products between the alloy and the three types of ceramics are mainly composed of Hf oxides, accompanied by a small amount of alloying components. For the corundum powder surface layer ceramics, the alloy surface is almost completely covered by a layer of Hf oxide after the experiment. This oxide layer effectively inhibits the further interfacial reaction between the alloy and the ceramic surface layer, making it more suitable for the investment casting of DZ125 superalloy. The contact angles between DZ125 superalloy and EC95 powder surface layer, corundum powder surface layer, and zirconia powder surface layer are 84.95°, 75.71°, and 132.96°, respectively. Due to the influence of interface reactions and ceramic surface roughness, the wettability between corundum surface layer shell and DZ125 alloy is better than other surface layers.