In this study, the formation mechanism of the plate-like ZrB2 particle via the molten salt synthesis method is investigated. The partial reactions and sequence of reactions were studied using thermo-gravimetric and differential thermal analysis (TG/DTA) on the mixture of starting materials containing Al, KBF4, and K2ZrF6. In order to understand the reactions which take place during the synthesis process, the mixture was heat-treated at the critical temperatures obtained from TG/DTA analysis. The attained products were characterized by X-ray diffraction (XRD), scanning electron microscopy (SEM), and high-resolution transmission electron microscopy (HRTEM). Results indicated that the formation of AlB2, AlB12, and Al3Zr takes place at a temperature less than 500 °C. Moreover, during the reaction, the formation of KAlF4 besides these products was confirmed by XRD and DTA analyses. The KAlF4 completely melted at the temperature of 575 °C. These particles dissolved in the molten KAlF4 above its melting point, and the reaction between them leads to the formation of the ZrB2 particles. Differences between ZrB2 and intermediate products morphology proposed that the dominant mechanism for ZrB2 formation is solution-precipitation. The role of aluminum is the reduction of starting material at the primary stages and the formation of low melting point salt mixtures. The proposed mechanism of ZrB2 formation was also discussed by the thermodynamics calculation.