In this study, the easy moisture absorption of molecular sieves was addressed by a two-step surface hydrophobic modification process. First, the hydrolysis-condensation of tetraethoxysilane (TEOS) was performed on the pre-treated ZSM-5 zeolite powders to fabricate silica encapsulated ZSM-5 (SiO2@ZSM-5) molecular sieves. Second, hydrogen-containing silicone oil (HCSO) was grafted on the surface of SiO2@ZSM-5 molecular sieves to prepare hydrogen-containing silicone oil modified [email protected] (HCSO-m-SiO2@ZSM-5) nanocomposites. After modification, the BET specific surface area of HCSO-m-SiO2@ZSM-5 nanocomposite was reduced from 275 to 69 m2 g−1, the pore volume was decreased from 0.27 to 0.05 cm3 g−1, and the average pore diameter was decreased from 4.6 to 2.6 nm. Then, the HCSO-m-SiO2@ZSM-5 nanocomposites were used as fillers to endow epoxy resin (EPR) coatings with hydrophobicity. The water contact angle of as-prepared HCSO-m-SiO2@ZSM-5/EPR composite coatings reached up to 148° at 30 wt% filler content. Electrochemical analysis shows that the corrosion potential (Ecorr) of composite coatings was positively shifted from −1.060 to −0.433 V and the corrosion current (Icorr) was reduced from 9.0791 × 10−5 to 2.4433 × 10−6 A/cm2 with the increase of filler content from 0 to 30 wt%, demonstrating their enhanced anti-corrosion property. Furthermore, the dielectric, light-shielding and mechanical properties were investigated. The results indicate that the composite coatings perform multifunctions of good hydrophobicity, dielectric performance, anti-corrosion, light-shielding efficiency and mechanical properties, which may have great potential in electronics applications.