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Mo‐based alloys with solidus temperatures around and above 2000 °C are attractive high‐temperature structural materials for future applications in the hot section of gas turbines. However, their oxidation behavior is poor due to pesting starting at 600 °C and nonprotective oxide growth at temperatures above 1000 °C. To ensure a sufficient oxidation resistance over a wide temperature range, protective coatings become inevitable. Herein, silicon coatings have been applied by magnetron sputtering on Mo‐9Si‐8B and on titan–zirconium–molybdenum alloy (TZM). The coating architecture is designed to minimize the intercolumnar gaps and porosity, thereby increasing the density. Specimens are tested at 800 and 1200 °C in air isothermally for up to 300 h. The focus is put on the chemical reactions at the coating–substrate interface, the phase formation, and the evolution of the thermally grown oxide. An initially globular SiO2 evolves into a uniform SiO2 layer providing excellent oxidation protection. The investigations reveal a rather slow interdiffusion between the coating and the alloys when tested in air. At the coating–substrate interface exclusively, the Mo3Si phase develops. Finally, the phase formation at the coating–substrate interface is studied in detail for various heat treatments in air and vacuum.