The growing environment concerns are pushing the development of lead-free piezoceramics with both outstanding piezoelectric properties and reasonable thermal stability. Herein, we have realized a large piezoelectric coefficient d33 of 430 pC N-1 in 0.96(K0.4Na0.6)(Nb0.96Sb0.04)O3-0.04Bi0.5K0.5Zr0.85Sn0.15O3 (KNNS-BKZS) polycrystals by constructing a rhombohedral-tetragonal (R-T) phase boundary. Investigations of in situ thermal stability of piezoelectric properties at multiple scales reveal that the micro-scale piezoelectric response is much more stable compared to macro-scale, indicating the significant role of extrinsic contributions from domain wall movements. These findings demonstrate the relationship between multi-scale properties and domain structures, reveal that the high piezoelectricity is attributed to nano-domains at R-T phase boundary.