The complexity of crystal structures plays an intriguing role in manipulating properties in thermoelectrics, spintronics, and batteries. In comparison to the widely studied ternary half-Heusler thermoelectric compounds, quaternary double half-Heusler compounds are promising due to their intrinsically low lattice thermal conductivities (κ_L). However, they have been much less investigated due to the limited material availability. In this study, we report a new double half-Heusler compound based on ZrNi(In,Sb). Upon tuning the ratio of In/Sb from 0.5/0.5 to 0.4/0.6 and reducing the nominal concentrations of Zr and Ni by 10%, we greatly reduce the intensities of the impurity-phase peaks in the diffraction patterns. An even better phase purity, in combination with an optimized power factor, is realized by substituting Co at the Ni sites. Further alloying Hf at the Zr sites enhances the point defect scattering of phonons, which yielded a minimum κ_L of ∼1.8 W m⁻¹ K⁻¹ and a maximum zT of ∼0.5 for Zr_0.7Hf_0.2Ni_0.65Co_0.25In_0.4Sb_0.6 at 973 K. Our work thus confirms the intrinsically low κ_L of ZrNi(In,Sb) double half-Heusler compounds and indicates their promising applications upon further improving their electrical transport properties.