In this work, novel W-Zr-B coatings were developed by a hybrid process combining pulsed laser deposited ZrB2 and radio frequency magnetron sputtered W2B5. The influence of the laser power density on the structure and mechanical properties of the deposited films was studied. Addition of zirconium causes a change in the structure of the deposited films from columnar to mainly amorphous. The nanoindentation tests and compression of nanopillars showed that doped W-Zr-B layers are still super-hard and incompressible in comparison to WB2 films without doping, but they change their behaviour from brittle to ductile. Films obtained with a fluence of 1.06 J/cm2 are superhard (H = 40 ± 4 GPa) and incompressible (12 ± 1 GPa), but possess a relatively low Young’s modulus (E = 330 ± 32 GPa) and a high elastic recovery (We = 0.9). Further increase in the fluence causes films to consist of deeply embedded fragments of laser ablated ZrB2 target in the deposited layer. Taking into account that the particles are made of ZrB2 which possess extraordinary thermal properties, and the matrix is made of W-Zr-B, a super-hard material, such a composite can also be interesting for industrial applications.