We show that the colossal thermoelectric power, S(T ), observed in the correlated semiconductor FeSb2 below 30 K is accompanied by a huge Nernst coefficient ν(T ) and magnetoresistance MR(T ). Markedly, the latter two quantities are enhanced in a strikingly similar manner. While in the same temperature range, S(T ) of the reference compound FeAs2, which has a seven-times larger energy gap, amounts to nearly half of that of FeSb2, its ν(T ) and MR(T ) are intrinsically different to FeSb2: they are smaller by two orders of magnitude and have no common features. Underlying the essentially different thermoelectric properties between FeSb2 and FeAs2, a large mismatch between the electrical and thermal Hall mobilities was found only in the former compound. With the charge transport of FeAs2 successfully captured by the density functional theory, we emphasize a significantly dispersive electron-relaxation time τ (ǫ k ) related to electron-electron correlations to be at the heart of the peculiar thermoelectricity and magnetoresistance of FeSb2.