The lanthanum magnesium hexaaluminate (LaMgAl₁₁O₁₉) powder was prepared via reverse chemical coprecipitation and high-temperature calcination method. The phase composition, microstructure, crystal structure and anisotropic lattice thermal expansion were ananlyzed using X-ray diffractometer (XRD), field emission scanning electron microscope (FSEM), in-situ high temperature X-ray diffraction (HD-XRD) and Rietveld refnement. The results showed that the precursors were final transformed to LaMgAl₁₁O₁₉ at sintering temperature of 1600 _oC, in which the hexagonal plane was regular and smooth. Anisotropic lattice thermal expansion of LaMgAl₁₁O₁₉ was investigated by HD-XRD using rietveld refnement method. The influence of temperature-related parameter on cell parameters was analyzed, of which a_T=5.5821+1.625×10_-5T+1.757×10_-8T₂+4.24×10_-12T₃ and c_T=21.9189+1.1952×10_-4T+4.587×10_-8T₂+5.463×10_-11T₃. Lattice thermal expansion of LaMgAl₁₁O₁₉ presented anisotropic characteristics. At ambient temperature to 1300 ℃, average coefficient of thermal expansion of LMA were obtained with TECs(//a)= 8.42×10_-6 /℃, TECs(//c)=12.54×10_-6 /℃. The variation of lattice thermall expansion of LaMgAl₁₁O₁₉ mainly due to the changes of La-O bond caused by temperatute.