Lithium and calcium are inefficient filling elements of CoSb3 at ambient pressure, but show nice filling behavior under high pressure. In this work, we synthesized Li/Ca double-filled CoSb3 with high pressure synthesis method. The products show the skutterudite structure of Im3¯ symmetry. Thermoelectric properties were effectively enhanced through Li and Ca co-filling. For the optimal Li0.08Ca0.18Co4Sb12 sample, the power factor maintains a relatively high value over the whole measurement temperature range and peaks at 4700μWm−1K−2, meanwhile the lattice thermal conductivity is greatly suppressed, leading to a maximal ZT of 1.18 at 700 K. Current work demonstrates high pressure synthesis as an effective method to produce multiple elemental filled CoSb3 skutterudites.