As a narrow gap, strongly correlated electron semiconductor, FeSb2 single crystals can exhibit a colossal thermopower1 (on the order of −40,000 μV/K or greater) and a relatively high lattice thermal conductivity2 (over 300 W/m-K) at temperatures around 10 K. In this work, a series of FeSb2 polycrystalline samples with different amounts of additional Indium were prepared by a quench-and-anneal method followed by a spark plasma sintering procedure. The x-ray diffraction, scanning electron microscopy, and elemental analysis verified that the Sb/InSb nanoinclusions were formed in situ on the boundaries of coarse FeSb2 grains. The presence of such nanoinclusions and other as-formed multiscale microstructures can scatter phonons and thus dramatically reduce the corresponding lattice thermal conductivity. Furthermore, the electrical properties can be also improved because of the addition of high mobility carriers from the InSb nanoinclusions. Overall, FeSb2-based materials have shown some promising potential for possible thermoelectric cooling applications at cryogenic temperatures.