Earth‐abundant and non‐toxic materials are important in the utilization of thermoelectric technology. Here, the thermoelectric behavior of copper iodide (CuI), which is prepared in bulk using a simple synthetic approach, is reported. The as‐prepared CuI has a high Seebeck coefficient of ≈431 μV K−1 with a resistivity ≈0.26 Ω cm−1, resulting in a room temperature thermoelectric power factor of ≈70 μW m−1 K−2. The thermoelectric properties are tuned by changing the defect chemistry via thermal annealing. Annealing at moderate temperatures (≈400 K) improves thermoelectric power factor, from its room temperature value of ≈142 μW m−1 K−2 to ≈160 μW m−1 K−2 at 353 K. Detailed analysis reveals that this is caused by iodine depletion upon annealing, which compensates for the intrinsic defects present in the form of copper vacancies that are responsible for the p‐type conductivity of the CuI.