Thermal spray is an effective process for the fabrication of a metal matrix composite (MMC), where a zirconium diboride reinforcement is embedded in a molybdenum matrix to enable the combining of favorable properties in a new composite. The combination of two leading materials in the category of ultra-high-temperature ceramics (UHTCs) is due to a very high melting point (Mo: 2623 °C and ZrB2: 3245 °C), high thermal conductivity (Mo: 139 W/m°C and ZrB2: 24 W/m°C), good thermal shock resistance, low coefficient of thermal expansion (Mo: 5.35 µm/m°C and ZrB2: 5.9 × 10−6 K−1), retention of strength at elevated temperatures and stability in extreme environments. Thermal spraying of the Mo/ZrB2 composite possesses a non-linear behavior that is influenced by many coating variables. This characteristic makes finding the optimal factor combination difficult. Therefore, an effective and strategic statistical approach incorporating systematic experimental data is needed to optimize the process. In this study, the L9 orthogonal array in the Taguchi approach was utilized to optimize the spraying distance (SD), number of passes (NP), pressure (P) and coat-face temperature (TCF) using a dummy fiberglass substrate. The performance was evaluated based on the coating density (Cd) of the surfaces. Based on confirmation tests, our Taguchi analysis determined the ideal process parameters, which considerably enhanced the coating process. From the output response of the ANOVA, the most influential parameters for achieving a high coating density (Cd) were determined to be SD = 20 cm, NP = 24, P = 4 bar and TCF = 330 °C ((SD.)1-(NP.)3-P2-(S.T.)3). These observations show that the coating density (Cd) was significantly influenced by the coat-face temperature, followed by the number of passes, spraying distance and pressure with the following contributions 6.29, 17.89, 17.42 and 3.35%, respectively.