The effects of grain size on thermoelectric properties of CoSb3 compound was investigated systematically. The results indicate that the lattice thermal conductivity κp of CoSb3 compound decreases significantly, the Seebeck coefficient α increases remarkably, and the band gap Eg increases and electrical conductivity σ decreases, when the grain size decrease from μm-scale to nano-scale. The dimensionless thermoelectric figure of merit ZT of CoSb3 compound with grain size of 200nm reaches 0.43 at 700K, about 4 times that of sample with grain size of 5000nm.