In the current study, zirconia (ZrO2) and its composite, magnesia-zirconia (MgO-ZrO2), were prepared as the hydrophilic interaction chromatographic (HILIC) stationary phases (SPs). Different experimental variables including water content, pH and buffer concentration in the mobile phase (MP) as well as column temperature were systematically studied to permit an in-depth understanding of the chromatographic properties of the mentioned SPs and to explore the retention mechanism further on. The results were compared with a native SiO2 column. Adsorption was demonstrated as the main retention mechanism on the two ZrO2-based SPs. The transferring of the analytes from the MP to the ZrO2-based SPs was endothermic and high column temperature would facilitate the retention. In addition, the MgO-ZrO2 SP exhibited superior resolution, column efficiency as well as stronger retention in comparison to the bare ZrO2 SP, which demonstrated that the introduction of MgO could improve the structure and properties of the material. In conclusion, MgO-ZrO2 was a promising material for HILIC applications.