$Mg_{3-x}Zn_xSb_2$ powders with x = 0-1.2 were fabricated by mechanical alloying in a planetary ball mill with a speed of 350 rpm for 24 hrs and then hot pressed under a pressure of 70 MPa at 773 K for 2 hrs. It was found that there were systematic shifts in the X-ray diffraction peaks of $Mg_3Sb_2$ (x = 0) toward a higher angle with increasing Zn for both the powder and the bulk sample and finally the phase of $Mg_{1.86}Zn_{1.14}Sb_2$ was formed at the Zn content of x = 1.2. The $Mg_{3-x}Zn_xSb_2$ compounds had nano-sized grains of 21-30 nm for the powder and 28-66 nm for the hot pressed specimens. The electrical conductivity of hot pressed $Mg_{3-x}Zn_xSb_2$ increased with increasing Zn content and temperature from 33 $Sm^{-1}$ for x = 0 to 13,026 $Sm^{-1}$ for x = 1.2 at 323 K. The samples for all the compositions from x = 0 to x = 1.2 had positive Seebeck coefficients, which decreased with increasing Zn content and temperature, which resulted from the increased charge carrier concentration. Most of the samples had relatively low thermal conductivities comparable to the high performance thermoelectric materials. The dimensionless figure of merit of $Mg_{3-x}Zn_xSb_2$ was directly proportional to the Zn content except for the compound with Zn = 1.2 at high temperature. The $Mg_{3-x}Zn_xSb_2$ compound with Zn = 0.8 had the largest value of ZT, 0.33 at 723 K.