Negative thermal expansion (NTE) is an intriguing physical phenomenon that can be used in the applications of thermal expansion adjustment of materials. In this study, we report a NTE compound of (Hf,Ti)Fe2, while both end members of HfFe2 and TiFe2 show positive thermal expansion. The results reveal that phase coexistence is detected in the whole NTE zone, in which one phase is ferromagnetic (FM), while the other is antiferromagnetic (AFM). With increasing temperature, the FM phase is gradually transformed to the AFM one. The NTE phenomenon occurs in the present (Hf,Ti)Fe2 because of the fact that the unit cell volume of the AFM phase is smaller than that of the FM phase, and the mass fraction of the AFM phase increases with increasing temperature. The construction of phase coexistence can be a method to achieve NTE materials in future studies.