Here we investigate the thermodynamic and electronic properties of Eu$_{11}$InSb$_9$ single crystals. Electrical transport data show that Eu$_{11}$InSb$_9$ has a semiconducting ground state with a relatively narrow band gap of $320$~meV. Magnetic susceptibility data reveal antiferromagnetic order at low temperatures, whereas ferromagnetic interactions dominate at high temperature. Specific heat, magnetic susceptibility, and electrical resistivity measurements reveal three phase transitions at $T_{N1}=9.3$~K, $T_{N2} =8.3$~K, and $T_{N3} =4.3$~K. Unlike Eu$_{5}$In$_{2}$Sb$_6$, a related europium-containing Zintl compound, no colossal magnetoresistance (CMR) is observed in Eu$_{11}$InSb$_9$. We attribute the absence of CMR to the smaller carrier density and the larger distance between Eu ions and In-Sb polyhedra in Eu$_{11}$InSb$_9$. Our results indicate that Eu$_{11}$InSb$_9$ has potential applications as a thermoelectric material through doping or as a long-wavelength detector due to its narrow gap.