An adherent Si-Mo coating on Mo-based alloy was produced by fused slurry method. The thermal shock resistance of the coating was evaluated by cycle test from room temperature to 1600°C in air. Besides, the microstructures of the coating were analyzed by SEM, EPMA, WDS and XRD. The results showed that the coating could bear thermal shock for 400 cycles from room temperature to 1600℃. During the oxidating process, the coating evolved from the original MoSi₂-Mo₅Si₃ bilayer structure to SiO₂-MoSi₂-Mo₅Si₃ multilayer structure. At the initial stage of the thermal shock, the longitudinal cracks were formed and gradually extended to the substrate, the longitudinal cracks run through the coating at the later thermal shock stage. In the meantime, the volatilization MoO₃ leads to the increase stress in the interface of coating/substrate and produce transverse cracks.