The invention relates to a preparation method of CoSb3 thermoelectric compound nano-powder. The preparation method of CoSb3 thermoelectric compound nano-powder includes the following steps: 1). Preparation of A solution, that is, mixture of cobalt chloride and antimony chloride, with ethanol as solvent; 2). Preparation of B solution, that is, mixture of sodium hydroxide and sodium borohydride, with ethanol as solvent; 3) Slowly dripping the A solution into the B solution under ultrasound conditions; 4). Centrifugation and drying of the products after ultrasonic processing in step 3) to produce amorphous precursor powder; 5). Reaction of the amorphous precursor powder in tubular atmosphere furnace under H2 atmosphere conditions at 370 to 400 degrees centigrade for 5 to 60 minutes, thus producing CoSb 3 thermoelectric compound nano-powders with particle size of 30 to 50 nanometers. The process of the method is simple and is easily controllable, the reaction time is short, the energy consumption is low, the method is safe and environment-friendly, the repeatability is high, and the CoSb3 thermoelectric compound nano-powders prepared in the method are characterized by small and uniform particle size and high purity.