The present invention is directed to a highly pure, partially stabilized, fibrous zirconia composite for use as thermal insulation in environments where temperatures up to about 2000.degree. C. are utilized. The composite of the present invention is fabricated into any suitable configuration such as a cone, cylinder, dome or the like by vacuum molding an aqueous slurry of partially stabilized zirconia fibers into a desired configuration on a suitably shaped mandrel. The molded fibers are infiltrated with zirconyl nitrate and the resulting structure is then dried to form a rigid structure which may be removed and placed in a furnace. The structure is then heated in air to a temperature of about 600.degree. C. for driving off the nitrate from the structure and for oxidizing the zirconyl ion to zirconia. Thereafter, the structure is heated to about 950.degree. to 1,250.degree. C. to fuse the zirconia fibers at their nexi in a matrix of zirconia. The composite produced by the present invention is self-supporting and can be readily machined to desired final dimensions. Additional heating to about 1800.degree. to 2000.degree. C. further improves structural rigidity.