Zirconia (ZrO2) coatings were successfully prepared on KD-II SiC fibers by sol–gel approach in zirconyl chloride and ethanol–water solution. Subsequent heat treatment at 1000 °C was done in vacuum. Phase composition and morphological characteristics of the ZrO2 coatings were investigated by XRD, FTIR, and SEM. The SiCf/SiC composites with ZrO2 coatings as interphase were fabricated by chemical vapor infiltration (CVI). The effects of ZrO2 interphase on the mechanical and dielectric properties of composites were studied. The results show that the flexural strength of SiCf/SiC composites with and without ZrO2 interphase are 261 and 103 MPa, respectively. It is demonstrated that ZrO2 interphase can effectively adjust the interfacial bonding strength and improve the mechanical properties of SiCf/SiC composites. In addition, both the real and imaginary parts of the complex permittivity (ϵ′ and ϵ″) of the SiCf/SiC composites with ZrO2 interphase are higher than those of without ZrO2 interphase. The effective absorbing bandwidth (below −10 dB) of SiCf/SiC composites with ZrO2 interphase is 1.6 GHz and the lowest reflection loss is −11.5 dB when the sample thickness is 2.7 mm.