Ultra‐high thermally stable Ca2MgWO6:xSm3+ (x = 0.5, 0.75, 1, 1.25, and 1.5 mol%) double perovskite phosphors were synthesized through solid‐state reaction method. Product formation was confirmed by comparing the X‐ray diffraction (XRD) patterns of the phosphors with the standard reference file. The structural, morphological, thermal, and optical properties of the prepared phosphor were examined in detail using XRD, Fourier transform infrared spectra, scanning electron microscopy, diffused reflectance spectra, thermogravimetric analysis (TGA), photoluminescence emission, and temperature‐dependent PLE (TDPL). It was seen that the phosphor exhibited emission in the reddish region for the near‐ultraviolet excitation with moderate Colour Rendering Index values and high colour purity. The optimized phosphor (x = 1.25 mol%) was found to possess a direct optical band gap of 3.31 eV. TGA studies showed the astonishing thermal stability of the optimized phosphor. Additionally, near‐zero thermal quenching was seen in TDPL due to elevated phonon‐assisted radiative transition. Furthermore, the anti‐Stokes and Stokes emission peaks were found to be sensitive toward the temperature change and followed a Boltzmann‐type distribution. All these marked properties will make the prepared phosphors a suitable candidate for multifield applications and a fascinating material for further development.