The effect of cyclic thermal loading on the microstructure and thermoelectric properties of CoSb3 was investigated. The microstructures of the samples were characterized by x-ray diffractometry, scanning electron microscopy, energy dispersive x-ray spectrometry and density measurements. The electrical conductivity, the Seebeck coefficient and the thermal conductivity were measured from room temperature to 800 K. Under cyclic thermal loading, antimony partially volatilized from the surface of the sample, and the density obviously decreased. After 2000 cycles, the phase composition of the sample remained stable, and the average grain size did not change significantly. Moreover, the electrical conductivity varied only slightly, except in the low temperature region. The Seebeck coefficient decreased slightly. However, the thermal conductivity changed remarkably with increasing numbers of thermal cycles.