The rapid solidification of melt spinning has been widely used in the fabrication of high-performance skutterudite thermoelectric materials. However, the microstructure formation mechanism of the spun ribbon and its effects on the mechanical properties are still unclear. Here, we report the microstructure evolution and mechanical properties of La–Fe–Co–Sb skutterudite alloys fabricated by both long-term annealing and melt-spinning, followed by sintering approaches. It was found that the skutterudite phase nucleated directly from the under-cooled melt and grew into submicron dendrites during the melt-spinning process. Upon heating, the spun ribbons started to form nanoscale La-rich and La-poor skutterudite phases through spinodal decomposition at temperatures as low as 473 K. The coexistence of the micron-scale grain size, the submicron-scale dendrite segregation and the nanoscale spinodal decomposition leads to high thermoelectric performance and mechanical strength. The maximum three-point bending strength of the melt spinning sample was about 195 MPa, which was 70% higher than that of the annealed sample.