Zirconium diboride (ZrB2) is a promising ultra-high-temperature ceramic material. Magnesiothermic self-propagating high-temperature synthesis (SHS) is an attractive method for its fabrication from relatively inexpensive oxides of zirconium and boron. However, prior studies on magnesiothermic, combustion-based methods for synthesis of ZrB2 have revealed incomplete conversion. The present work aims to determine optimal conditions for magnesiothermic SHS of ZrB2 from ZrO2 and B2O3. The addition of MgO, NaCl, and excess Mg was investigated experimentally. Mechanical activation (short-time high-energy ball milling) was used to facilitate ignition of the powder mixtures. After combustion in an argon environment, the products were leached by diluted HCl to remove magnesium compounds and NaCl. The results show that NaCl is a better additive than MgO; it effectively improves milling and decreases the amount of zirconia in the products. Further, NaCl decreases the particle size of the products, which is beneficial for sintering. The addition of excess Mg also has a positive effect on the conversion because it compensates for the loss of Mg through vaporization during the SHS process. In the products obtained by combustion and leaching of the mixtures with 20% excess Mg and 10-30 wt% NaCl, the oxygen content was below 4 wt%. Nanoscale polycrystalline ZrB2 particles were obtained using the mixture with 20% excess Mg and 30 wt% NaCl.