Bulk CoCrFeNiNb_0.45 eutectic high entropy alloy (EHEA) with ultrafine-lamellar microstructure shows outstanding thermal stability. The EHEA offers opportunities for the development of thermoelectric materials. In this paper, the thermoelectric properties of a CoCrFeNiNb_x (x = 0, 0.25, and 0.45) EHEA system were investigated. The results indicated that the electrical conductivity decreased with a rise in Nb content in the CoCrFeNiNb_x alloys, which resulted from the increased eutectic structure and phase interface. Moreover, the thermal conductivity increased with increased Nb content at low temperature (T ≤ 473 K), while thermal conductivity decreased at high temperature (T > 573 K). The CoCrFeNiNb_0.45 full eutectic high entropy alloy exhibited the lowest thermal conductivity and higher thermoelectric figure of merit (ZT) at a high temperature (T > 573 K), which shows great promise for the thermoelectric application at high temperature.