We present the full thermoelectric characterization of nanostructured bulk PbTe and PbTe–PbSe samples fabricated from colloidal core–shell nanoparticles followed by spark plasma sintering. An unusually large thermopower is found in both materials, and the possibility of energy filtering as opposed to grain boundary scattering as an explanation is discussed. A decreased Debye temperature and an increased molar specific heat are in accordance with recent predictions for nanostructured materials. On the basis of these results we propose suitable core–shell material combinations for future thermoelectric materials of large electric conductivities in combination with an increased thermopower by energy filtering.