Nearly single-phased FeVSb half-Heusler compound thermoelectric materials with fine grains of diameter 100–200 nm were prepared from their elemental powders by combining mechanical alloying (MA) and spark plasma sintering. The resultant bulk samples showed a relatively low room-temperature electrical resistivity on the order of 10 µΩm, and a moderate negative Seebeck coefficient with a maximum value of −175 µV K−1 at 300 °C. It was found that proper excessive addition of V relative to the stoichiometric composition (FeVSb) during MA enhanced the phase purity and hence the power factor of the spark plasma sintered samples, resulting in a large power factor value of 2480 µW m−1 K−2 when the elemental powders were mixed with the composition FeV1.15Sb. Its thermal conductivity was significantly reduced mainly due to refined grain sizes, resulting in a high dimensionless figure of merit ZT of 0.31 at a low-to-mid temperature (300 °C) as for undoped half-Heusler compounds.