The present invention discloses a type of high figure of merit p-type FeNbHfSb thermoelectric material, whose composition is FeNb1-xHfxSb, wherein x=0.06˜0.2. The present invention also discloses the method to prepare these p-type FeNbHfSb thermoelectric materials. The ingots with nominal composition FeNb1-xHfxSb are prepared by levitation melting of stoichiometric amounts of Fe, Nb, Hf and Sb under an argon atmosphere. The obtained ingots are mechanically milled to get submicron-scale powders. The obtained powders are compacted by spark plasma sintering to obtain the final bulk p-type FeNbHfSb thermoelectric materials. The compositional elements of these p-type FeNbHfSb thermoelectric materials are abundant in the earth crust. The p-type thermoelectric materials also shows good high temperature stability and the preparation method are simple and high-yield. Therefore, the industrial production cost would be relatively cheap. The maximum zT value of the p-type thermoelectric materials is ˜1.45 at 1200K, which is the highest value among the p-type half-Heusler system.