This study investigates the formation of nitric oxide (NO) from the MILD combustion of a methane jet flame in hot oxidizer coflow (JHC) diluted by N-2, H2O and CO2, respectively. A mass fraction of 9% of oxygen in the coflow is taken to achieve a stable MILD combustion. To compare appropriately between different cases involving N-2 in coflow, the JHC flame diluted by the artificial non-reactive N-2, i.e., XN2, is simulated as a reference. Likewise, the artificial gases XCO2 and XH2O, combining with the real CO2 and H2O, are also used as diluents so as to isolate the chemical and physical effects. All the artificial gases do not participate in any chemical reactions but have the same fluid properties as for the real. Both physical and chemical factors of H2O or CO2 are found to play significant roles in reducing the NO emission from the XN2-diluted case. However, the former is more important than the latter. Such a reduction of NO emission derives primarily from a higher thermal capacity of H2O or CO2 than that of N-2. As the diluent changes from XN2 to H2O or CO2, the concentrations of OH, H and O will vary substantially, so chemically altering the main reactions and also the relative importance of each route of NO formation. Specifically, while the thermal and prompt routes contribute most to the NO emission for the XN2 -diluted JHC flame, the N2O-intermediate mechanism is prevailing in the cases diluted by H2O and CO2. In addition, for the oxy-fuel combustion, H2O is superior over CO2 as a diluent in terms of addressing the air-ingress issue.