AbstractMultiply twinned icosahedrons possess a diversity of unique functionalities well‐suited to various applications, such as thermoelectric conversion. Regarding chalcogenide icosahedron, an unconventional yet promising thermoelectric candidate, disclosing its growth mechanism is rather challenging. This study uncovers the formation mechanism of thermoelectric Cu5+3xFe1‐xS4 (0 ≤ x ≤ 0.4) core‐shell nano‐icosahedrons, which is distinct from that of well‐known metal icosahedrons. Electron microscopy and molecular dynamics simulations reveal that the evolution into icosahedrons, stemming from the fivefold twin formation in the center of Cu5FeS4 particle aggregates, is accompanied by the gradual formation of Fe‐rich orthorhombic‐structured core and Cu‐rich cubic‐structured shell, which provides a peculiar stress relaxation mechanism. Further identified by density functional theory calculations, Fe atoms have the tendency to transform cubic Cu5FeS4 to its orthorhombic phase and in turn result in varied crystal structures and lattice parameters in the core and shell. Importantly, by adjusting the Cu/Fe ratio of the precursors, the stress‐releasing process and potential energy of icosahedrons are controllably tuned, generating Cu5+3xFe1‐xS4 icosahedrons with tunable diameters. Accordingly, a significantly enhanced thermoelectric zT of 0.90, the largest value for Cu5FeS4, is realized. This study will shed light on the design strategy for Cu‐based ternary chalcogenide icosahedrons with enhanced thermoelectric properties.