High mechanical load-carrying capability and thermal insulating performance are crucial to thermal-insulation materials under extreme conditions. However, these features are often difficult to achieve simultaneously in conventional porous ceramics. Here, for the first time, it is reported a multiscale structure design and fast fabrication of 9-cation porous high-entropy diboride ceramics via an ultrafast high-temperature synthesis technique that can lead to exceptional mechanical load-bearing capability and high thermal insulation performance. With the construction of multiscale structures involving ultrafine pores at the microscale, high-quality interfaces between building blocks at the nanoscale, and severe lattice distortion at the atomic scale, the materials with an ≈50% porosity exhibit an ultrahigh compressive strength of up to ≈337 MPa at room temperature and a thermal conductivity as low as ≈0.76 W m-1 K-1. More importantly, they demonstrate exceptional thermal stability, with merely ≈2.4% volume shrinkage after 2000 °C annealing. They also show an ultrahigh compressive strength of ≈690 MPa up to 2000 °C, displaying a ductile compressive behavior. The excellent mechanical and thermal insulating properties offer an attractive material for reliable thermal insulation under extreme conditions.