The ordered domain engineering was investigated for Ba[(Zn0.8Mg0.2)1/3Nb2/3]O3 microwave dielectric ceramics to synergistically modify the physical properties especially the temperature coefficient of resonant frequency τf and quality factor Q value together with the thermal conductivity. The ordered domain structure could be tailored and controlled by the post‐densification annealing, and the fine ordered domain structures with high ordering degree and low‐energy domain boundary were obtained in the present ceramics annealed around 1400°C for 24 h, where the Qf value was improved from 51 000 to 118 000 GHz, τf was suppressed from 30 to 25.5 ppm/°C. Moreover, the thermal conductivity at room temperature was increased from 3.79 to 4.30 W m−1 K−1, and the Young's modulus was improved from 98 to 214 GPa. The present work provided a promising approach for synergistic modification of physical properties in Ba‐based complex perovskite microwave dielectric ceramics.