Thermally conductive but electrically insulating materials are highly desirable for thermal management applications in electrical encapsulation and future energy fields, for instance, superconducting magnet insulation in nuclear fusion systems. However, the traditional approaches usually suffer from inefficient and anisotropic enhancement of thermal conductivity or deterioration of electrical insulating property. In this study, using boron nitride sphere (BNS) agglomerated by boron nitride (BN) sheets as fillers, we fabricate a series of epoxy/BNS composites by a new approach, namely gravity-mix, and realize the controllable BNS loading fractions in the wide range of 5–40 wt%. The composites exhibited thermal conductivity of about 765% and enhancement at BNS loading of 40 wt%. The thermal conductivity up to 0.84 W·m−1·K−1 at 77 K and 1.66 W·m−1·K−1 at 298 K was observed in preservation of a higher dielectric constant and a lower dielectric loss, as expected, because boron nitride is a naturally dielectric material. It is worth noting that the thermal property was almost isotropous on account of the spherical structure of BNS in epoxy. Meanwhile, the reduction of the coefficient of thermal expansion (CTE) was largely reduced, by up to 42.5% at a temperature range of 77–298 K.