Embodiments of a gas turbine engine component having sealed stress relief slots are provided, as are embodiments of a gas turbine engine containing such a component and embodiments of a method for fabricating such a component. In one embodiment, the gas turbine engine includes a core gas flow path, a secondary cooling flow path, and a turbine nozzle or other gas turbine engine component. The component includes, in turn, a component body through which the core gas flow path extends, a radially-extending wall projecting from the component body and into the secondary cooling flow path, and one or more stress relief slots formed in the radially-extending wall. The stress relief slots are filled with a high temperature sealing material, which impedes leakage between the second cooling and core gas flow paths and which fractures to alleviate thermomechanical stress within the radially-extending wall during operation of the gas turbine engine.