Using precipitation, polymerization one step to synthesize poly[cyclotriphosphazene-co-(4,4′-sulfonyldiphenol)] microspheres (PZs) with hexachlorocyclotriphosphazene and 4,4′-sulfonyldiphenol, and filled epoxy matrix to prepare composite coatings to study the thermal and friction modified mechanisms. PZs have average particle diameter of 500 nm, the initial decomposition temperature is 457.5 °C and the solid residual rate at 600 °C is 63.1%. PZs uniformly dispersed in the epoxy matrix and effectively improve the Tg and thermostability of the composite coatings. The frictional coefficient of the epoxy/PZs composite coatings reduced from 0.61 ± 0.02 of pure EP to a minimum 0.38 ± 0.01 and the volumetric wear rate reached a minimum 13.2 × 10−11 mm3 with 3 wt% PZs filling. The SEM morphology of grinding crack showed that PZs microspheres have an obvious wearing resistant effect.