Se- and Te/Se-doped n-type CoSb3 skutterudites were synthesized by high-pressure synthesis (HPS) followed by spark plasma sintering. Se and Te substitutions on the Sb sites were verified by X-ray powder diffraction, energy dispersive spectrometry, and Raman spectroscopy. The experimental determined solubility of Se in CoSb3, was significantly enhanced by HPS technique, and reached a large value of 3%. Se doping shows a greater impact on the Seebeck coefficient than on the electrical resistivity because of the combined effects of the carrier transport performance, grain size, and pores. Meanwhile, the thermal conductivity was significantly suppressed after Se doping. The thermal conductivity of CoSb2.7Se0.3 is below 1.83 W/mK and is the lowest value for unfilled skutterudites to date. Extra doping of Te significantly increased the concentration and weighted mobility of the charge carrier, leading to an enhanced power factor. Moreover, the thermal conductivity was further reduced by Te co-doping due to the strong distortion of Sb4-ring in the framework of skutterudite. The highest ZT value of 1.29 is achieved at 780 K for CoSb2.8Te0.15Se0.05 with an appropriate Te/Se co-doping, which is the best ZT value for unfilled n-type skutterudites to the best of our knowledge. HPS is therefore a good choice to synthesize elemental filled and substituted (for Sb sites) skutterudites with increasing filling and doping levels for improving TE performance.