A facile and high yield synthesis route was developed for the fabrication of bulk nanostructured copper selenide (Cu2Se) with high thermoelectric efficiency. Starting from readily available precursor materials and by means of rapid and energy-efficient microwave-assisted thermolysis, nanopowders of Cu2Se were synthesized. Powder samples and compacted pellets have been characterized in detail for their structural, microstructural and transport properties. α to β phase transition of Cu2Se was confirmed using temperature dependent X-ray powder diffraction and differential scanning calorimetry analyses. Scanning electron microscopy analysis reveals the presence of secondary globular nanostructures in the order of 200 nm consisting of <50 nm primary particles. High resolution transmission electron microscopy analysis confirmed the highly crystalline nature of the primary particles with irregular truncated morphology. Through a detailed investigation of different parameters in the compaction process, such as applied load, heating rate, and cooling profiles, pellets with preserved nanostructured grains were obtained. An applied load during the controlled cooling profile was demonstrated to have a big impact on the final thermoelectric efficiency of the consolidated pellets. A very high thermoelectric figure of merit (ZT) above 2 was obtained at 900 K for SPS-compacted Cu2Se nanopowders in the absence of the applied load during the controlled cooling step. The obtained ZT exceeds the state of the art in the temperature ranges above phase transition, approaching up to 25% improvement at 900 K. The results demonstrate the prominent improvement in ZT attributed both to the low thermal conductivity, as low as 0.38 W m−1 K−1 at 900 K, and the enhancement in the power factor of nanostructured Cu2Se. The proposed synthesis scheme as well as the consolidation could lead to reliable production of large scale thermoelectric nanopowders for niche applications.