A favourable electronic structure, together with a high abundance of pyrite (FeS2) in the Earth's crust, make this sulfide a promising material for thermoelectric applications. However, the experimental work published to date underlines a challenging scenario, with FeS2 presenting systematically small power factors. Knowing that sulfur vacancies are a key aspect for controlling the electronic transport properties of FeS2, this work focuses on the preparation of pyrite by hot-pressing and entails a careful characterization of its microstructure, chemical composition, thermal stability, and electrical transport properties. Dense pellets (>90% of the theoretical density) were obtained, consisting mostly of pyrite with trace amounts of Fe7S8. Different hot-pressing conditions led to similar chemical compositions, with no significant lattice distortions. Pyrite proved to be thermally stable up to 400 °C under an inert atmosphere. Analysis of the electronic band structure and density of states by density functional theory implies a p-type semiconductivity. However, measurements of Seebeck coefficient indicated n-type semiconductivity for pyrite produced by this experimental procedure. The highest power factor measured in this work, 0.23 μW K−2 m−1, is still far from what can be considered a promising value for thermoelectric materials, but different ways of improving it are discussed.