Thermoelectric materials of the skutterudites In0.3Co4Sb12-xSex(x=0—0.3) were prepared by melt-annealing and spark plasma sintering. The existence forms of the element In were investigated, and the effect of doping Se in In filled-skutterudites on the structure and thermoelectric properties were also studied systematically. The element In could be filled into the hole structure of skutterudite, and the excessive In exists as InSb in the boundary of grains. After the substitution of Se for Sb, the lattice parameters decrease, and the filling fraction limit of In decreases. All the compounds of In0.3Co4Sb12-xSex(x=0—0.3) show n-type conduction. With the Se doping amount increasing, the carrier concentration and electrical conductivity decrease, and the Seebeck coefficient increases, and the power factor decreases slightly. Since the introduction of Se substitution brings about quality fluctuation and lattice distortion in structure, moderate amount of Se substitution can lower the thermal conductivity largely. The maximum ZT values of both In0.3Co4Sb12 and In0.3Co4Sb11.95Se0.05 samples reach above 1.0.