In this paper, we report a study on the thermal shock resistance (TSR) of MoSi2/SiCO ceramic composites obtained through controlled pyrolysis of a gel-derived precursor. MoSi2-filled gel is prepared by casting a sol obtained from MoSi2 powder dispersed in methyltriethoxysilane. The pyrolysis product can be described as a porous ceramic composite formed by a SiCO matrix with a dispersion of MoSi2 particles. Mechanical characterization is performed on bar samples by four-point bending. The TSR is investigated either by evaluating the R parameter (associated with strength, elastic modulus, and thermal expansion coefficient), or with the conventional water quenching technique. In both cases, the results suggest that the studied ceramic material displays a good TSR, which makes it a candidate for high-temperature application.