Skutterudite-based compounds, Co4Sb12-x-yTexSey (x = 0.4, 0.5, 0.6 and y = 0.0, 0.1), are synthesized by the solid state reaction and spark plasma sintering methods, and their structure and the thermoelectric properties have been investigated systematically. It is found that the doping of Se resulted in a decrease of the lattice parameter and a refinement in the grain size compared with that of Te alone doped samples. The samples doping of Se do not yield a certain increase in the power factor due to the reduced electrical conductivity, but it shows a significant depression in the lattice thermal conductivity because of the enhanced point-defect scattering owing to the larger mass fluctuations and strain field fluctuations. Besides, the effect of the reduced grain size and the nano-precipitates on the lattice thermal conductivity should not be neglected. The highest dimensionless figure of merit ZT = 1.09 is achieved at 800 K in the Co4Sb11.3Te0.6Se0.1 compound, which is improved by 15% as compared with that of Te-alone-doped Co4Sb11.4Te0.6 compound at the corresponding temperature.