Mullite-Zirconia refractories are well known for their good resistance to corrosion and thermal shock. In this study, several mullite-zirconia composites were developed from andalusite, alumina and zircon sintered at 1600 °C for 10 hours. The samples were subjected to thermal shock carried out after heating at 1200 °C, in order to study the mechanical and thermomechanical behaviour as a function of the amount of zirconia dispersed in the mullite matrix. It appears that that the amorphous phase (SiO2), determined by X-ray diffraction, produced by the decomposition of andalusite, increases considerably with the amount of final zirconia in the composite and has a very important influence on the porosity. This amorphous phase seems also to have an important influence on the mechanical properties of the material. The characterisation of the thermomechanical behaviour (elastic properties and damage monitoring) was carried out thanks to ultrasonic techniques (US echography and Acoustic Emission). The “surprising” evolution (increase) of the Young’s modulus E of the material after being submitted to repeated thermal shocks is highlighted and explained. The acoustic emission technique carried out at high temperature and also coupled to 4-points bending tests (at room temperature) demonstrates its effectiveness for providing a better understanding of the chronology of the involved mechanisms involved at microstructural scale.