The microstructures of two pressureless sintered ceramics, ZrB2 and HfB2 with 20 vol% MoSi2 added, were analyzed by scanning and transmission electron microscopies. Carbides and oxides of the transition metals and MoB were observed to be well dispersed within the boride matrix. Mo5Si3 and Mo5SiB2, with Zr or Hf impurities, were observed at triple grain junctions and showed a partial wetting of the matrix. It was also noticed that the borides had a core-shell structure, which was especially pronounced in the ZrB2-based composite. The experimental results suggest the formation of a Mo–Si–B liquid phase at high temperature, which strongly promoted the densification. The densification mechanisms are discussed in light of the microstructure evolution on sintering, thermodynamic considerations, and the phase diagrams of the species involved.