Combustion synthesis method was used to prepare NdB6 ultra-fine powders with B2O3, Nd2O3 and Mg powders as the raw materials. The basic thermodynamic data of NdB6 were estimated. The standard formation heat of NdB6 is −357.48 kJ·mol−1. The values of the heat capacity and the standard entropy are 96.87 and 86.60 J·K−1·mol−1, respectively. The adiabatic temperature of the reaction is 2726 K, which is higher than the thermodynamic criterion of 1800 K. This indicates that the combustion synthesis reaction of the B2O3–Nd2O3–Mg system could spontaneously take place by itself to generate NdB6. The NdB6 powders were characterized by X-ray diffractometer (XRD), scanning electron microscopy (SEM) and differential scanning calorimetry–thermogravimetry (DSC–TG). The results indicate that the combustion products consist of NdB6, MgO, and a few Mg3B2O6 and Nd2B2O6. The leached products consist of single NdB6 phase, and its purity is 98.6 wt%. When the sample preparation pressure is 20 MPa, the average particle size of NdB6 powders is less than 500 nm. The antioxidant ability of NdB6 is very strong, which is oxidized step by step. The apparent activation energies of the oxidation reactions are 986.14 and 313.83 kJ·mol−1, respectively. In addition, the reaction orders are 4.10 and 3.75, respectively.