Rhenium diboride is a recently recognized ultra-incompressible superhard material. Here we report the electronic (e), phonon (p), e-p coupling, and thermal properties of ReB2 from first-principles density-functional theory calculations and neutron scattering measurements. Our calculated elastic constants (c11 =641 GPa, c12=159 GPa, c13=128 GPa, c33=1037 GPa, and c44=271 GPa), bulk modulus (B≈350 GPa) and hardness (H≈46 GPa) are in good agreement with the reported experimental data. The calculated phonon density of states agrees very well with our neutron vibrational spectroscopy result. Electronic and phonon analysis indicates that the strong covalent B-B and Re-B bonding is the main reason for the super incompressibility and hardness of ReB2. The thermal expansion coefficients, calculated within the quasiharmonic approximation and measured by neutron powder diffraction, are found to be nearly isotropic in a and c directions and only slightly larger than that of diamond in terms of magnitude. The excellent agreement found between calculations and experimental measurements indicate that first-principles calculations capture the main interactions in this class of superhard materials, and thus can be used to search, predict, and design new materials with desired properties.