A theoretical formalism to calculate the single crystal elastic constants for hexagonal crystals from first principle calculations is described. The calculated values compare favorably with recent experimental results. An expression to calculate the bulk modulus along crystallographic axes of single crystals, using elastic constants, has been derived. The calculated linear bulk moduli are found to be in good agreement with the experiments. The shear modulus, Young's modulus, and Poisson's ratio for ideal polycrystalline ZrB2 are also calculated and compared with corresponding experimental values. The shear anisotropic factors and anisotropy in the linear bulk modulus are obtained from the single crystal elastic constants. The Debye temperature is calculated from the average elastic wave velocity obtained from shear and bulk modulus as well as the integration of elastic wave velocities in different directions of the single crystal. The calculated elastic properties are found to be in good agreement with experimental values when the generalized gradient approximation is used for the exchange and correlation potential. It is found that the elastic constants and the Debye temperature of ZrB2 increase monotonically and the anisotropies weaken with pressure. The thermal properties including the equation of state, linear compressibility, ductility, and the heat capacity at various pressures and temperatures are estimated.