Polycrystalline nanostructured bulk samples of p-type filled skutterudite Ce0.3Fe1.5Co2.5Sb12 have been prepared by melt-spinning (MS) method combined with spark plasma sintering (SPS). The effects of melt-spinning process on their microstructure and thermoelectric properties have been investigated. The results indicate that the ribbons have finer microstructure with the increasing cooling rate for melt-spun ribbons, resulting from the increasing copper wheel speed and decreasing ejection pressure. Compared with the sample prepared by traditional method, the samples prepared by MS-SPS method have higher power, factor due to the enhanced thermopower, despite the slightly reduced electrical conductivity. Meanwhile, the lattice thermal conductivity of the MS-SPS samples is significantly suppressed. Hence, the thermoelectric performance of the MS-SPS samples is greatly improved, and the figures of merit reach about 0.55 at 750 K.