Despite the unfavorable band structure with twofold degeneracy at the valence band maximum, MgAgSb is still an excellent p‐type thermoelectric material for applications near room temperature. The intrinsically weak electron–phonon coupling, reflected by the low deformation potential Edef ≈ 6.3 eV, plays a crucial role in the relatively high power factor of MgAgSb. More importantly, Li is successfully doped into Mg site to tune the carrier concentration, leading to the resistivity reduction by a factor of 3 and a consequent increase in power factor by ≈30% at 300 K. Low lattice thermal conductivity can be simultaneously achieved by all‐scale hierarchical phonon scattering architecture including high density of dislocations and nanoscale stacking faults, nanoinclusions, and multiscale grain boundaries. Collectively, much higher average power factor ≈25 μW cm−1 K−2 with a high average ZT ≈ 1.1 from 300 to 548 K is achieved for 0.01 Li doping, which would result in a high output power density ≈1.56 W cm−2 and leg efficiency ≈9.2% by calculations assuming cold‐side temperature Tc = 323 K, hot‐side temperature Th = 548 K, and leg length = 2 mm.