Since the lattice thermal conductivity of n-type multi-filled skutterudites have been reduced below 1 W (mK−1), the development of new strategies that can further enhance the power factor while maintaining the low thermal conductivity is highly desired. In this paper, we conducted a pioneering work by introducing a “core–shell” microstructure into Yb single-filled skutterudite thermoelectric materials to realise this purpose. The “core–shell” structure formed by the thermal diffusion of well dispersed Ni nanoparticles in the Yb0.2Co4Sb12 powder during hot pressing is composed of the normal “core” grains surrounded by Ni-rich nanograin “shells”. The electrical resistivity is greatly reduced due to the increase in both carrier concentration and mobility. However, the Seebeck coefficient first increases due to the increased density of states at the Fermi energy and then decreases gradually. As a consequence, the power factor is remarkably increased for the samples with the addition of Ni nanoparticles. In addition, the lattice thermal conductivity is also reduced by the extra phonon scattering introduced by the “core–shell” microstructure. The concomitant effects enable a maximum ZT of 1.07 for the 0.2 wt% Ni sample at 723 K.