Lead‐free halide double perovskites with diverse electronic structures and optical responses, as well as superior material stability show great promise for a range of optoelectronic applications. However, their large bandgaps limit their applications in the visible light range such as solar cells. In this work, an efficient temperature‐derived bandgap modulation, that is, an exotic fully reversible thermochromism in both single crystals and thin films of Cs2AgBiBr6 double perovskites is demonstrated. Along with the thermochromism, temperature‐dependent changes in the bond lengths of AgBr (RAgBr) and BiBr (RBiBr) are observed. The first‐principle molecular dynamics simulations reveal substantial anharmonic fluctuations of the RAgBr and RBiBr at high temperatures. The synergy of anharmonic fluctuations and associated electron–phonon coupling, and the peculiar spin–orbit coupling effect, is responsible for the thermochromism. In addition, the intrinsic bandgap of Cs2AgBiBr6 shows negligible changes after repeated heating/cooling cycles under ambient conditions, indicating excellent thermal and environmental stability. This work demonstrates a stable thermochromic lead‐free double perovskite that has great potential in the applications of smart windows and temperature sensors. Moreover, the findings on the structure modulation‐induced bandgap narrowing of Cs2AgBiBr6 provide new insights for the further development of optoelectronic devices based on the lead‐free halide double perovskites.