Multi-phase ceramics based on ZrB2, TiB2 and doped with CrB2 and SiC were prepared by powder metallurgy and hot pressing to explore the possibility of obtaining multi-scale microstructures by super-saturation of complex (Zr,Ti,Cr)B2 solid solutions. Core–shell structures formed in TiB2 grains, whereas ZrB2 appeared to form a homogeneous solid solution with the other metals. Precipitation of nano-inclusions within both micron-sized borides was assessed by transmission electron microscopy and thermodynamics elucidated the preferential formation of boride inclusions due to the specific sintering atmosphere. In addition, atomic size factors explicated the precipitation of CrB2 nano-particles into ZrB2-rich grains and of ZrB2 nano-particles into TiB2-rich grains. The hardness of the constituent phases measured by nanoindentation ranged from 36 to 43 GPa.