P‐type polycrystalline SnSe and K_0.01Sn_0.99Se are prepared by combining mechanical alloying (MA) and spark plasma sintering (SPS). The highest ZT of ≈0.65 is obtained at 773 K for undoped SnSe by optimizing the MA time. To enhance the electrical transport properties of SnSe, K is selected as an effective dopant. It is found that the maximal power factor can be enhanced significantly from ≈280 μW m⁻¹ K⁻² for undoped SnSe to ≈350 μW m⁻¹ K⁻² for K‐doped SnSe. It is also observed that the thermal conductivity of polycrystalline SnSe can be enhanced if the SnSe powders are slightly oxidized. Surprisingly, after K doping, the absence of Sn oxides at grain boundaries and the presence of coherent nanoprecipitates in the SnSe matrix contribute to an impressively low lattice thermal conductivity of ≈0.20 W m⁻¹ K⁻¹ at 773 K along the sample section perpendicular to pressing direction of SPS. This extremely low lattice thermal conductivity coupled with the enhanced power factor results in a record high ZT of ≈1.1 at 773 K along this direction in polycrystalline SnSe.