Skutterudite (CoSb3) is a kind of promising environment-friendly medium-temperature thermoelectric material. Indium-filled CoSb3 has been widely studied, but its bipolar effect, which is commonly generated between 600 and 700 K, seriously hinders the increase of Seebeck coefficient and zT value. The zT value not only directly reflects the overall thermoelectric performance of the material, but also reflects the thermoelectric conversion efficiency of the device. In this work, In filled and Fe, Se double doped CoSb3 materials were successfully prepared by high-temperature and high-pressure synthesis method (HPHT), with a significant shorten synthesis time of 30 mins for each sample. This research has shown that after Se doping via HPHT synthesis method, the bipolar effect of In-filled CoSb3 was significantly suppressed, thus the temperature limitations of electrical transport performance has been overcome. Through the further microstructure analysis, it was found that the crystal structure of sample In0.5Fe0.01Co3.99Sb11.91Se0.09 has the characteristics of multiple grain sizes and complex defect types. And these two microscopic morphological characteristics resulted in the sample obtaining a minimum lattice thermal conductivity of 0.94 Wm−1K−1 at a test temperature of 773.15 K. Through synergistic optimization of synthesis methods and element substitution, the maximum zT value of 1.21 of the sample In0.5Fe0.01Co3.99Sb11.91Se0.09 has been found at 773.15 K.