Abstract Ultra‐high temperature ceramics ( UHTC s) exhibit a unique combination of excellent properties that makes them promising candidates for applications in extreme environments. Various UHTC s are needed due to diverse harsh conditions that UHTC s are faced with in different applications. Due to structural similarity to ZrB 2 , possible high melting point and possible protective oxide scale formed in oxygen rich and water vapor environments, REA lB 4 ( RE : rare‐earth) is suggested a good candidate for UHTC s. In the present work, temperature‐dependent mechanical and thermal properties of both α‐ YA lB 4 ( YC rB 4 type, space group Pbam ) and β‐ YA lB 4 (ThMoB 4 type, space group Cmmm ) were investigated by first principles calculations in combination with quasi‐harmonic approach. Due to the structural similarity between α‐ YA lB 4 and β‐ YA lB 4 , their properties are very similar to each other, which are approximately transverse isotropic with properties in (001) plane being almost the same and differing from properties out of (001) plane. The results reveal that resistance to normal strain in (001) plane (~460 GP a) is higher than that along [001] direction (~320 GP a) and thermal expansion in (001) plane (~10 × 10 −6 K −1 ) is lower than that along [001] direction (~17 × 10 −6 K −1 ), which is because the stiff boron networks are parallel to (001) plane. The average thermal expansion coefficient is around 12 × 10 −6 K −1 , which is fairly high among UHTC s and compatible with metallic frameworks. The combination of high thermal expansion coefficient and protective oxidation scale forming ability suggest that REA lB 4 is promising for practical applications not only as high‐temperature structural ceramic but also as oxidation resistant coating for alloys.