The invention relates to a ZrO2-Y2O3 particle reinforced molybdenum alloy and a preparation method thereof, compound powder and a preparation method thereof and belongs to the technical field of molybdenum alloys. The preparation method of the ZrO2-Y2O3 particle reinforced molybdenum alloy comprises the following steps: uniformly grinding ZrO2, Y2O3 and MoO2; then reducing the mixture with hydrogen; then preparing a blank; and sintering the blank to obtain the alloy. According to the preparation method of the ZrO2-Y2O3 particle reinforced molybdenum alloy, by means of the characteristics of large hardness, crispiness and small viscosity of MoO2, MoO2 and ZrO2 and Y2O3 are mixed and ground, so that agglomeration among compound powder particles can be reduced greatly and the compound powderwhich is smaller in particle size and more uniform in dispersion is obtained. Therefore, the sintering time can be shortened, the energy consumption is reduced, and the high-temperature strength and the wear resistance of the alloy material are improved obviously.