It is generally believed that lattice thermal conductivity (κL) decreases with increasing atomic mass. Here, by combining first-principles calculations and Boltzmann transport equation, we demonstrate that the κL of orthorhombic MX2 (M = Pd, Pt; X = S, Se) do not always follow the conventional mass dependence. Among the three dynamically and mechanically stable compounds, it is found that the PdSe2 containing heavier anions possesses smaller κL compared with the PdS2. If we focus on the cations, however, the κL of the PtSe2 is anomalously higher than that of the PdSe2, as evidenced by significantly enhanced phonon relaxation time. Detailed analysis indicates that the lanthanide-contraction effect of the Pt element leads to enhanced interatomic bonding, which consequently reduces the scattering phase space and lattice anharmonicity of the PtSe2. Our work highlights the fundamental mechanisms governing the phonon transport properties, especially for the system with elements crossing the lanthanide series.