With the development of white light-emitting diode (LED) technology, near-infrared (NIR) phosphor-converted (pc) LED is becoming a new emerging light source. However, due to the lack of long wavelength components of the phosphors, the application of NIR pc-LED is restricted. In this work, a continuous ultra-broadband NIR emission without the emission gap in the 850–950 nm region has been realized in the Mg4Nb2O9 (MNO):Cr3+, Yb3+ phosphor. Meanwhile, when compared to MNO:Cr3+, an improved internal quantum efficiency (from 55.4% to 72.6%) and thermal stability (from 39% to 63% at 100 °C) have been obtained for MNO:Cr3+, Yb3+, which is attributed to the combined effect of the efficient energy transfer from Cr3+ to its nearest Yb3+ and the unique energy levels of Yb3+. The performances of the fabricated pc-LED devices by combining MNO:Cr3+, Yb3+ with 460 nm LED chips were also given, and the results demonstrate that the MNO:Cr3+, Yb3+ phosphor may have potential for practical application in the NIR pc-LED.