There is a need for an advanced and novel new generation thermoelectric materials with improved properties over conventional systems. This work describes the solid-state synthesis of mono-phase and high dense (>97%) nanocrystalline lead-tin-selenium-tellurium (PbSnSeTe) high entropy alloy (HEA) combining 5 h of mechanical alloying (MA) and 11 min of spark plasma sintering (SPS). High configurational entropy, multi-elemental concentration and nanostructuring phenomena synergistically obstruct the thermal transport by lowering the lattice thermal conductivity (<0.5 W/mK). X-ray diffraction (XRD) and electron microscopy analyses confirm the formation of single-phase nanocrystalline PbSnSeTe HEA with excellent structural homogeneity. The HEA shows an encouraging thermoelectric power factor (6.74×10−4 W/mK2) and thermoelectric figure of merit (0.47) at 623 K.