Refractory metal molybdenum (Mo) and its alloys are easily oxidized in high temperature aerobic environment, resulting in a sharp decline in mechanical properties, which limits their applications. In order to improve the high temperature oxidation resistance, MoSi2 coating and Mo-Si-B composite coating were prepared on Mo substrate by molten salt electrodeposition method. The high temperature oxidation resistance of the two coatings at 1400 °C was compared and analyzed. The oxidation behavior and microstructural evolution of the two coatings before and after oxidation were studied in detail. The results revealed that when MoSi2 coating was oxidized at 1400 °C, a continuous and dense SiO2 layer was formed on the surface, which could effectively protect the Mo substrate from oxidation. However, the element diffusion rate was fast due to the high oxidation temperature, resulting in the degradation of MoSi2 to Mo5Si3 and Mo3Si. Mo-Si-B composite coating was partially destroyed after oxidation at 1400 °C for 5 h and exhibited different oxidation characteristics. Due to the uneven thickness of the silicide outer layer in the original Mo-Si-B composite coating, it was unable to form a protective SiO2 layer in the thinner region, so that oxygen could penetrate into the coating and cause the generation of diverse oxidation products like Mo5Si3, MoO3, and B2O3. Nevertheless, the inhibiting effect of the inner boride layer on the diffusion of Si can be observed in the thicker region.