Complexity of crystal structure displays intriguing role on manipulating properties in thermoelectric, spintronics and batteries field. In comparison to the widely-studied ternary half-Heusler thermoelectric compounds, the quaternary double half-Heusler compounds are promising due to their intrinsically low lattice thermal conductivities (κ_L). However, they received much less investigations due to the limited material availability. In this study, we report a new double half-Heusler based on ZrNiIn_xSb_1-x. Upon tuning the ratio of In/Sb from 0.5/0.5 to 0.4/0.6, and reducing the nominal concentration 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, together with an optimized power factors are 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 ~1.8 W⸱m⁻¹⸱K⁻¹ and a peak 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 ZrNiIn_xSb_1-x-based double half-Heusler and indicates their promising applications upon further improving the electrical transport properties.