ZrW2O8 is known as a negative coefficient of thermal expansion (CTE) material. In contrast, the studies of other properties than the CTE of ZrW2O8, such as thermal conductivity and mechanical properties, are limited. Herein, a highly dense bulk sample (%T.D. > 95%) of ZrW2O8 from very fine powder (D50 0.3 μm) with a crystalline size of 31 nm using a spark plasma sintering (SPS) technique is synthesized. It is revealed that ZrW2O8 exhibits the lowest level of thermal conductivity among various oxides in a wide temperature range from 300 to 823 K. Furthermore, various physical properties such as a peculiar CTE, elastic constant, and Grüneisen parameter are reported. Owing to its exceptional thermal properties, ZrW2O8 is expected to be used in various thermal management areas.