In this work, we perform first-principles calculations based on density functional theory and the semi-classical Boltzmann method to study the structural, mechanical, electronic, and thermoelectric properties of rare earths filled skutterudites RECo4Sb12 (RE= Nd,Sm,Eu,Yb). It is found that these compounds are n-type semiconductors with high effective mass and narrow bandgap. The main focus here is to investigate the effect of filler rare earth elements on the thermoelectric response of binary skutterudite CoSb3. In doing so, we compute for each compound the Seebeck coefficient, electrical conductivity, electronic thermal conductivity, and figure of merit in the temperature range from 400 K to 1000 K. The relaxation time and lattice thermal conductivity are calculated as well. Our results reveal that low thermal conductivity and high Seebeck coefficient can be achieved at the same time in RE-filled skutterudites RECo4Sb12, thereby improving their thermoelectric performance which makes them attractive thermoelectric materials at high temperatures.