The structure and thermal expansion behavior of the tetragonal tungsten bronze oxide Pb₂KNb₅O₁₅ were investigated by neutron powder diffraction and high-temperature X-ray diffraction. Below the Curie temperature, T_C (orthorhombic phase, T_C ≈ 460 °C), the cell parameters a and c increase with temperature, while b decreases. The thermal expansion coefficients are α_a = 1.29 × 10⁻⁵ °C⁻¹, α_b = −1.56 × 10⁻⁵ °C⁻¹, and α_c = 1.62 × 10⁻⁵ °C⁻¹. Temperature-dependent second harmonic generation (SHG), dielectric, and polarization–electrical field (P–E) hysteresis loop measurements were performed to study the symmetry and electric properties. We show that the distortion and cooperative rotation of NbO₆ octahedrons are directly responsible for the negative thermal expansion coefficient along the polar b axis. It is suggested that Pb–O covalency, especially in the large and asymmetric pentagonal prisms, may be related to orthorhombic distortion and abnormal spontaneous polarization along the b axis. This study shows that tungsten bronze families are possible candidates for exploring negative thermal expansion materials.