p-type Ce1.05Fe4Sb12.04 filled skutterudites with much improved thermoelectric properties have been synthesized by rapidly converting nearly amorphous ribbons into crystalline pellets under pressure. It is found that this process greatly suppresses grain growth and second phase formation/segregation, and hence results in the samples consisting of nano-sized grains with strongly-coupled grain boundaries, as observed by transmission electron microscopy. The room temperature carrier mobility in these samples is significantly higher (nearly double) than those in the samples of the same starting composition made by the conventional solid-state reaction. Nanostructure reduces the lattice thermal conductivity, while cleaner grain boundaries permit higher electron conduction.