Negative thermal expansion (NTE) behavior is an interesting physical phenomenon, but the number of NTE materials is limited. In this study, a new NTE compound has been found, FeFe(CN)6 Prussian blue analogue, where the average linear coefficient of thermal expansion (αl) is -4.260 × 10-6 K-1 between 100 and 450 K. The NTE properties and local vibration dynamics have been investigated by joint experiments of synchrotron X-ray diffraction, X-ray pair distribution function, and extended X-ray absorption fine structure spectroscopy. It has been observed that the Fe-C/Fe-N bonds expand with increasing temperature, while the unit cell shrinks in FeFe(CN)6. The vibration directions of both Fe-C and Fe-N prefer to be perpendicular to the linkage of Fe-C[triple bond, length as m-dash]N-Fe rather than being parallel. More pieces of evidence indicate that the transverse vibrations of N atoms dominate the NTE behavior of FeFe(CN)6. The present results prove directly that the transverse thermal vibrations of C and N atoms are crucial for the occurrence of the NTE of Prussian blue analogues.