Thermal expansion is an essential issue in the field of materials science and engineering. Investigation of anomalous thermal expansion is beneficial to controlling it and developing related functions. Here, we report disitinctly anisotropic thermal expansion of CrB2 via temperature dependence of neutron diffraction, in which positive thermal expansion is observed within basal plane whereas negative thermal expansion emerges along the c direction. Intriguingly, zero thermal expansion of unit cell volume is determined from 5 to 130 K with the coefficient of thermal expansion of ᾱV = 0.4(1) × 10−6 K−1. Magnetization measurement shows there is an antiferromagnetic-paramagnetic transition near 90 K, which may correlate to the thermal expansion anomaly. DFT calculations identify no chemical binding of Cr–Cr pair, implying such antiferromagnetic ordering originates from the double exchange interaction of Cr–B–Cr.