The p-type Yb-filled skutterudites Yb0.9Fe3CoSb12 were prepared by encapsulated melting and hot pressing, and the effects of heat treatment on the phase transformation, microstructure, and thermoelectric properties were examined. The ingots were melted at 1323 K, cooled in a furnace or in a water bath, and then annealed at 873 K for 24 to 100 h. The ingots were ground into powders and consolidated by hot pressing at 873 K for 1 h. According to the X-ray diffraction analysis and the Rietveld refinement, the water-quenched specimen had more Yb-filled skutterudites and fewer YbSb2 phases compared to the furnace-cooled sample. All the specimens were transformed into the skutterudite phases by annealing. The dimensionless figure-of-merit value (ZT) was increased by about 50% by a subsequent annealing after water quenching. The water quenching suppressed the formation of secondary phases due to the sluggish peritectic reaction for the skutterudite phase.