We have prepared the thermoelectric materials, where the small particles are dispersed in the matrix, by mechanical grinding (MG) or alloying (MA). Si and C powers were added to the p-type Fe0.92Mn0.08Si2 or n-type Fe0.98Co0.02Si2 powders, and they were mechanically milled followed by being hot-pressed. The amounts of the β-phase, ε-phase, α-SiC and C in the sintered samples depend on the amount of the added (Si+C) and the Si/C molar ratio, which affect the values of the Seebeck coefficient and electrical resistivity of the samples. A lot of fine α-SiC particles around 20nm were dispersed in the samples, which decreases the thermal conductivity of the samples. The maximum figure of merit values appear at Si/C=1.5 for p-type Fe0.92Mn0.08Si2 containing 4 mass%(Si+C) and Si/C=1.75 for n-type Fe0.98Co0.02Si2. We have also prepared the CoSb3-FeSb2 composite where the FeSb2 particles are dispersed in the CoSb3 matrix. The dispersed FeSb2 particles contributed to decreasing the thermal conductivity and maintaining the moderate Seebeck coefficient and electrical resistivity of the samples. As a result, the composite whose molar ratio CoSb3/FeSb2 is 0.7/0.3 and milling time is 25 h has a maximum value of figure of merit of 6.1×10-4 K-1 at 756 K, which is much larger than that of 3.2×10-4 K-1 for CoSb3.