Thermoelectric cooling materials based on Bi2Te3 have a long history of unsurpassed performance near room temperature. Recently, research into price‐competitive Mg3(Bi, Sb)2‐based materials are focused on replacing traditional cooling materials. Here, the thermoelectric properties of Mg3.2Bi1.998−xSbxTe0.002Cu0.005 (x = 0.0, 0.1, 0.2, 0.3, 0.4, and 0.5) polycrystalline compounds are investigated. In all temperature regions, electrical resistivity and Seebeck coefficient are increased with Sb concentration. The electronic transport properties of Sb‐alloyed compounds are maximized by synergistically combined band engineering approaches such as band structure change caused by lattice strain, increased electronic density of states, and chemical potential shift, leading to exceptionally high‐power factor values of over 3.0 mW m−1 K−2 at room temperature. Furthermore, with increasing Sb content, thermal conductivity values are systematically reduced due to the promotion of alloy scattering of phonons and suppression of the bipolar contribution. Consequently, these multiple approaches significantly enhance thermoelectric performance, resulting in an enhancement of thermoelectric figure‐of‐merit zT above 1.1 at 348–423 K. Additionally, a zTavg of 1.1 is recorded at 300–450 K, making it an unrivaled value among the reported n‐type Mg3Bi2‐based thermoelectric materials. Overall, this work demonstrates that Mg3Bi2‐based materials are more promising for thermoelectric cooling applications compared to Bi2Te3‐based materials.