Cu‐Fe‐S‐based compounds gain the interest from thermoelectric community because all the consisting elements, Cu, Fe, and S, are non‐toxic and earth‐abundant. Comparing with CuFeS2 and Cu5FeS4, the investigation on Cu9Fe9S16 is very rare. In this work, a series of Cu9–xFe9+xS16 samples were fabricated by means of melting‐annealing process. Their phase composition, microstructure, electrical and thermal transport properties were systematically investigated. X‐ray measurement confirms that all samples are phase pure. Transmission electron microscopy characterization indicates that the fabricated Cu9Fe9S16 has a natural nanostructure. Cu9Fe9S16 shows semiconducting‐like electrical transport behavior and intrinsically low lattice thermal conductivity. Beyond the numerous boundaries between nanosized grains, the existence of low‐frequency optical phonons is also responsible for the intrinsically low lattice thermal conductivity. Doping Fe at the Cu‐sites in Cu9Fe9S16 significantly alters the electrical transport properties by introducing extra carriers. A peak dimensionless figure of merit zT value of 0.21 is obtained at 800 K for pure Cu9Fe9S16, which is comparable with that for CuFeS2.