The method allows ZrF4 to be converted into ZrO2, by carrying out a thermal conversion operation based on solid ZrF4 and water which are heated in a reactor until converted into ZrO2. The initial ratio by weight of ZrF4 to water is in particular between 1/5 and 1/500, and this ratio is maintained substantially for the entire duration of the conversion. The thermal conversion is carried out at a temperature greater than or equal to 300° C. The invention is used in particular for recycling pickling baths for zirconium alloys.