Isotropic zero thermal expansion (ZTE) is rare but intriguing physical property in materials. Here, we report an isotropic ZTE property in a double ReO3‐type compound of MgZrF6, which exhibits a negligible value of coefficient of thermal expansion (αl = −7.94 × 10−7 K−1 (XRD), αl = −4.22 × 10−7 K−1 (dilatometry), 300‐675 K). The ZTE mechanism of MgZrF6 is understood by the joint studies of temperature dependence of crystal structure and lattice dynamics. Interestingly, different magnitudes of atomic displacement parameters (ADPs) for the fluorine atoms in MZrF6 (M = Ca, Ni, Mg) are found. The strong temperature sensitivity of ADPs demonstrates intensive transverse thermal vibration of fluorine atoms, which contributes essentially to the negative thermal expansion of CaZrF6. By contrast, for NiZrF6 with positive thermal expansion, the temperature response of ADPs is weak. Moderate transverse thermal vibration takes place in MgZrF6, and ZTE appears. Furthermore, lattice dynamics of MgZrF6 is studied by temperature‐dependent Raman spectroscopy, which reveals the ZTE mechanism. In particular, the F2g and Ag modes, corresponding to the bending and stretching vibrations of fluorine atoms, respectively, neither soften nor harden over the whole temperature range, which is correlated with the isotropic ZTE property of MgZrF6.