Half-Heusler alloys are one of the potential thermoelectric materials for medium to high temperature range application. As a part of fundamental study to establish processing route and to observe thermoelectric properties in undoped state, ZrCoSb was selected, processed and evaluated. In an attempt to produce a half-Heusler thermoelectric materials having ultra fine grain structures, ZrCoSb was synthesized by mechanical alloying of stoichiometric elemental powder compositions, and consolidated by vacuum hot pressing. Phase transformations during mechanical alloying and hot consolidation were investigated using XRD, SEM and EDS. Single-phase, half-Heusler was successfully produced by vacuum hot pressing using as-milled powders without subsequent annealing. Thermoelectric properties as functions of temperature were evaluated in terms of Seebeek coefficient, electrical conductivity, thermal conductivity and the figure of merit for the hot pressed specimens. Mechanically alloyed half-Heusler phase, ZrCoSb, appeared to have a great potential as a thermoelectric materials in this study.