For practical application in thermoelectric modules, thermoelectric materials need to be manufactured into legs with high-density. However, during the process of hot-pressing or spark plasma sintering, sublimation and instability of the materials especially for Te and Se-based compounds requires to be considered. In this work, Cu2Se were prepared by high-hydrogen/nitrogen–pressure sintering technology. High-pressure atmosphere inhibited the volatilization of Se, enabling formation of single-phase high-density Cu2Se bulk materials. Moreover, characterization results of X-ray diffraction, differential scanning calorimetry and thermal gravimetric analyses show that small amount of hydrogen and nitrogen atoms can be incorporated into the lattice of Cu2Se, lowering the thermal conductivity to 0.7–0.8 Wm−1K−1 compared with 1.1 Wm−1K−1 for the counterpart Cu2Se. A maximal figure of merit value of 0.25 at room-temperature was obtained for Cu2Se via sintering in 18 MPa hydrogen at 400 °C. Our high-pressure sintering approach may open a new route for shaping volatile materials into dense thermoelectric legs.