Synthesis of ZrO2 during oxidation of a zirconium wire by supercritical water at P = 25 MPa and T = 500 or 525°C has been investigated. It is established that an inhomogeneous nanostructured ZrO2 layer is formed as a result of oxidation. Rate of 〈Zr〉 oxidation, oxide porosity and morphology, and average size and structure of crystallites are determined. The thermal conductivity of the synthesized ZrO2 layer in supercritical water and in nitrogen is determined by pulsed electric heating of a partially oxidized wire. The low values of thermal conductivity (about 0.2 W/(m K)) correspond to a layered structure of porous material, with layers orientated parallel to the oxidized-metal surface.