A nitrogen oxide reduction baffle for a heat exchanger of a furnace and a gas furnace incorporating at least one such baffle. In one embodiment, the baffle includes: (1) a body having a predetermined length, cross-sectional configuration and longitudinal slot, the longitudinal slot having a predetermined width and position and (2) a locating structure coupled to the body and configured to place the body in a predetermined longitudinal location within a heat exchanger and orient the slot relative to the heat exchanger, the body laterally constrained within the heat exchanger when the body is located at the predetermined longitudinal location.