The intermetallic compound Eu₅In₂Sb₆, an antiferromagnetic material with nonsymmorphic crystalline structure, is investigated by magnetic, electronic transport and specific heat measurements. Being a Zintl phase, insulating behavior is expected. Our thermodynamic and magnetotransport measurements along different crystallographic directions strongly indicate polaron formation well above the magnetic ordering temperatures. Pronounced anisotropies of the magnetic and transport properties even above the magnetic ordering temperature are observed despite the Eu^{2 +} configuration which testify to complex and competing magnetic interactions between these ions and give rise to intricate phase diagrams discussed in detail. Our results provide a comprehensive framework for further detailed study of this multifaceted compound with possible nontrivial topology.