Although many thermoelectric materials, such as Bi2Te3, PbTe and CoSb3, possess excellent thermoelectric properties, they often contain toxic and expensive elements. Moreover, most of them are synthesized by processes such as vacuum melting, mechanical alloying or solid-state reactions, which are highly energy and time intensive. All these factors limit commercial applications of the thermoelectric materials. Therefore, it is imperative to develop efficient, inexpensive and non-toxic materials and explore rapid and low-cost synthesis methods. Herein we demonstrated a rapid, facile and low-cost synthesis route that combines thermal explosion (TE) with plasma-activated sintering and used it to prepare environmentally benign CuFeS2+2x. The phase transformation that occurred during the TE and correlations between the microstructure and transport properties were investigated. In a TE process, single-phase CuFeS2 was obtained in a short time and the thermoelectric performance of the bulk samples was better than that of the samples that were synthesized using traditional methods. Furthermore, the effect of phase boundaries on the transport properties was investigated and the underlying physical mechanisms that led to an improvement in the thermoelectric performance were revealed. This work provides several new ideas regarding the TE process and its utilization in the synthesis of thermoelectric materials.