ZrN/Si3N4 nanocomposites have been prepared by chemically crosslinking two polysilazanes with a zirconium-based compound and subsequent heat-treatment at temperatures ranging from 1000 to 1600 °C. The polymer synthesis has been systematically investigated using FT-IR, solid-state NMR, and elemental analyses. Then, the pyrolysis under ammonia at 1000 °C trigering the thermo-chemical polymer-to-ceramic conversion was examined, leading to X-ray amorphous ceramics with yields governed by the chemistry of the neat polysilazane. Investigations of the structural evolution of the single-phase amorphous ceramic network above 1000 °C by X-ray diffraction and Raman spectroscopy pointed out that the ZrN phase already segregated at 1400 °C and formed highly crystalline ZrN/Si3N4 nanocomposites at 1600 °C. HRTEM investigations validated the unique nanostructural feature of the nanocomposites made of ZrN nanocrystals distributed in α- and β-Si3N4 phases. Our preliminary investigations of the optical properties showed that these structural changes allowed tuning the optical properties of ZrN/Si3N4 nanocomposites.