Heusler compounds have attracted remarkable attention from scientists over the year by virtue of their peculiarity and suitability in multi-functional applications. In the current study, the structural, elastic, dynamical, thermodynamic and thermoelectric properties of CoMSb (M = V, Nb and Ta) half-Heusler compounds were computed. Projector augmented-wave (PAW) pseudopotentials with PBE exchange correlation functional have been used to obtain the results for the studied compounds. The computed elastic constants satisfy the general stability condition based on the cubic symmetry and endorse the ductile nature of the compounds. The CoVSb compound is predicted to be ferromagnetic half-metallic compound while CoNbSb and CoTaSb are non-magnetic compounds. The dynamical properties revealed the dynamical stability in CoVSb and CoTaSb compounds while the imaginary frequency observed at W⟶L⟶Γ predicts instability in CoNbSb compound. The thermodynamic properties for the compounds were reported. The thermoelectric properties were calculated based on the results obtained from electronic structure using semi-classical Boltzmann theory. The ductile nature and the figure of merit computed predict CoMSb (M = V, Nb and Ta) are relatively good for thermoelectric application.