Filled skutterudite phosphides with heavy lanthanides LnT 4P12 (Ln=Gd, Tb, Dy, T =Fe, Ru, Os) were prepared at high temperatures and high pressures. The magnetic properties of these compounds were studied in detail through electrical resistivity ρ(T), magnetic susceptibility, magnetization, specific heat, and thermoelectric power S(T) measurements. The filled skutterudite DyRu4P12 was synthesized for the first time. DyRu4P12 shows an antiferromagnetic transition at TN =15 K. The dramatic increase at TN observed in ρ(T) and S(T) suggest the formation of a superzone gap due to Fermi surface nesting. All the compounds undergo a ferromagnetic or antiferromagnetic transition at low temperatures except TbOs4P12. TbOs4P12 is found to be paramagnetic down to 2 K. The magnetic ordered states of filled skutterudite phosphides containing heavy lanthanides are discussed.