The anisotropic oxidation characteristics is an important issue that needs to be focused on during the corrosion process of zirconium alloys, and it is of great significance for studying the corrosion mechanism of zirconium alloy. Based on the finite element method, the stress state of the oxide film of zirconium alloy with (11-20) oriented grain and (0001) oriented grain in superheated steam at 500 °C/10.3 MPa was simulated in the paper. The simulation results show as follows: The change of stress distributions of the oxide films on zirconium alloy with (11-20) oriented grain and (0001) oriented grain exhibits the same trend with the increase of the oxide film thickness. The stress of the oxide film is distributed in a gradient. And in the thickness direction of oxide film, the stress decreases from the inner surface to the outer surface of the oxide film. The compressive stress in the oxide film decreases first, then increases and then decreases with the oxide film thickness increasing, and after the oxide film reaches 10 μm, the stress no longer has a significant change trend. There are obvious differences in the stress magnitude and stress gradient of the oxide films on the surfaces of (11-20) oriented grain and (0001) oriented grain, which is one of the reasons for the different corrosion resistance.