Polycrystalline samples of rare earth hexaaluminates LaMgAl11O19, PrMgAl11O19, NdMgAl11O19, and SmMgAl11O19 were synthesized by the citrate sol-gel method with subsequent firing of xerogels in air. Thermal expansion of the compounds obtained was studied by the dilatometric method. Continuous shrinkage of samples was measured in the temperature range of 20–1600°C in air. In the temperature range of 20–1500°C, the linear thermal expansion coefficients of sintered ceramic samples of complex oxides LnMgAl11O19 (Ln = La, Pr, Nd, Sm) were determined, the values of which varied from 9.5 × 10–6 to 12.9 × 10–6°C–1.