La0.4Ni0.2Co3.8Sb12 filled skutterudite compound was successfully prepared via the route of mechanical alloying and hot pressing (MA-HP). Single-phase filled skutterudite can be obtained when the mechanically alloyed powders is hot pressed for 2 h at a temperature higher than 550°C. Prolonging the hot pressing process, the electrical resistivity of the La0.4Ni0.2Co3.8Sb12 filled skutterudite decreases; Seebeck coefficient increases when the hot press duration is prolonged from 2 to 4 h, and no evident change was observed on further prolonging. A composite microstructure, which consists of some coral-like clusters and a nanocrystalline matrix with grain size about 50 nm in the La0.4Ni0.2Co3.8Sb12 filled skutterudite, was observed for the first time. The coral-like microstructure is thought to be the prime filled skutterudite phase produced directly by MA, while nanocrystalline matrix is the filled skutterudite phase formed during hot press.