Using thermoelectricity to directly convert (waste) heat energy into useful electricity faces a number of challenges. Not only are optimised thermal and electrical transport properties required resulting in a high figure of merit ZT and a high thermal–electric conversion efficiency η over a wide temperature range, thermoelectric (TE) materials must have sufficient mechanical integrity to survive continuous heating–cooling cycles. Thermal expansion of the material as well as the mechanical properties play an important role, i.e. their values should be as similar as possible for p- and n-type alloys to avoid stresses when used in a TE device. In this paper multiple filled p- and n-type skutterudites (Ba,Sr,DD,Yb)y(Fe1–xNix)4Sb12 with a ZT > 1 and η ≈ 13% are presented, for the first time showing, in contrast to hitherto investigated skutterudites, nearly identical thermal expansion coefficients and elastic moduli. The ZT values of these skutterudites could be further enhanced by more than 20% after severe plastic deformation via high-pressure torsion.