Undoped CoSb3 powders were synthesized by mechanical alloying of elemental powders using a nominal stoichiometric composition. Nanostructured, single-phase skutterudite CoSb3 was successfully produced by vacuum hot pressing using as-milled powders without subsequent annealing. Phase transformations during synthesis were investigated using XRD, and microstructure was observed using SEM and TEM. Thermoelectric properties in terms of Seebeck coefficient, electrical conductivity, thermal conductivity and figure of merit were systematically measured and compared with the results of analogous studies. Lattice thermal conductivity was reduced owing to increasing phonon scattering in nanostructured CoSb3, leading to enhancement in the thermoelectric figure of merit. Mechanical Alloying associated with vacuum hot pressing technique offers an alternative potential processing route for the production of skutterudites.