Sb-doped Heusler Fe2VAl alloy was synthesized to evaluate the effect of heavy element doping on thermoelectric properties of the Heusler alloy. For the sample preparation, a pulse-current sintering technique with fine powder prepared by mechanical alloying was used. By using the powder metallurgy technique, a heavy element with a low melting point can be stably doped, compared to the melting process. Thermal conductivity was effectively-reduced by a small amount of the substitution because of the large atomic mass of Sb compared to the constituent elements of Fe2VAl alloy. Conduction type was controlled by adjusting the valence electron density. For the p-type conduction, Ti substitution for the V site was examined and large positive Seebeck coefficient was obtained while maintaining the low thermal conductivity.