A new class of compounds in the form of skutterudite structure, Fe doped $CoSb_3$ with a nominal composition of $Fe_xCo_{4-x}Sb_{12}$ ($0{leq}x{leq}2.5$), were synthesized by mechanical alloying of elemental powders followed by vacuum hot pressing. Nanostructured, single-phase skutterudites were successfully produced by vacuum hot pressing using as-milled powders without subsequent heat-treatments for the compositions of $x{leq}1.5$. However, second phase was found to form in case of $x{geq}2$, suggesting the solubility limit of Fe with Co in this system. Thermoelectric properties including thermal conductivity from 300 to 600 K were measured and discussed. Lattice thermal conductivity was greatly reduced by introducing a dopant up to x=1.5 as well as by increasing phonon scattering in nanostructured skutterudite, leading to enhancement in the thermoelectric figure of merit. The maximum figure of merit was found to be 0.32 at 600 K in the composition of $Fe_xCo_{4-x}Sb_{12}$.