Mechanical Metamaterials, which integrate multi-material systems, possess the exclusive capability to modulate the coefficient of thermal expansion (CTE). However, the thermal stress induced by the uncoordinated deformation of multi-material seriously restricts their engineering applications under cyclic and extreme temperature variations. Here, an innovative Zigzag Connection (ZC) metamaterial is originally developed to integrate the modulated CTE and ultra-low thermal stress, in contrast to the End-to-end Connection (EC) and Side-to-side Connection (SC) metamaterials reported in the literature. The mechanism and theoretical analysis of the CTE and thermal stress are established and validated through numerical simulations. It is revealed that the EC and SC metamaterials consistently generate the high thermal stress far beyond the yield strength, while the newly designed ZC metamaterial simultaneously exhibits the modulated CTE and ultra-low thermal stress. Moreover, an Ashby plot of CTE versus thermal stress is illustrated, and the concept of temperature variation tolerance is defined to guide the comprehensive design of these metamaterials. The ZC metamaterial shows a higher temperature variation tolerance within compared with the EC and SC metamaterials. Overall, the ZC metamaterial emerges as a solution for the inherent conflict between the modulate CTE and thermal stress, highlighting its obvious superiority of applications under high-temperature environments.