We report first-principle calculations of the recently synthesized Pb-free double perovskite Cs₂PtI₆, which we found to have the potential to be an excellent thermoelectric material, through the investigation of its electronic and phonon transport properties. The Heyd–Scuseria–Ernzerhof functional results in an indirect band gap of 1.40 eV, perfectly matching the experiment. Our well-converged phonon dispersion displays positive frequencies in the entire Brillouin zone and hence confirms the dynamic stability of the material. Further, the low-lying optical modes mix significantly with the heat-carrying acoustic phonons and add to their scattering phase space. We have found strong phonon anharmonicity due to the nonsymmetric and nonspherical electron densities of the atoms derived from their bonding environment, which in combination with low group velocities and high phonon scattering rates results in ultralow lattice thermal conductivity in Cs₂PtI₆. For example, it is 0.15 W/mK at 300 K, which is 8-fold smaller than that reported for the typical thermoelectric material Bi₂Te₃. Our simulations show that it could be reduced by another factor of 2 by nanostructuring the material with features of around 8 nm. We have found a remarkably high p-type Seebeck coefficient of 139 μV/K at the maximum considered carrier concentration and temperature. Our calculations also find a high figure of merit of 1.03 for the p-type carriers at room temperature, attributed to the substantial thermoelectric coefficient S²σ/τ, where S, σ, and τ are the Seebeck coefficient, the electrical conductivity, and the relaxation time, respectively.