The formation of NbB2–MgAl2O4 composites from the MgO-added thermite-based reaction systems was investigated by self-propagating high-temperature synthesis (SHS). Two thermite mixtures, Nb2O5/B2O3/Al and Nb2O5/Al, were, respectively, adopted in Reactions (1) and (2). The XRD analysis confirmed the combination of Al2O3 with MgO to form MgAl2O4 during the SHS process and that excess boron of 30 atom.% was required to yield NbB2–MgAl2O4 composites with negligible NbB and Nb3B4. The microstructure of the composite reveals that rod-shaped MgAl2O4 crystals are closely interlocked and granular NbB2 are embedded in or scattered over MgAl2O4. With the addition of MgAl2O4, the fracture toughness (KIC) of 4.37–4.82 MPa m1/2 was obtained for the composites. The activation energies Ea = 219.5 ± 16 and 167.9 ± 13 kJ/mol for Reactions (1) and (2) were determined from combustion wave kinetics.