Skutterudite (SKD) based thermoelectric materials are promising candidates for use in thermoelectric devices at intermediate temperatures (300–600 °C) for waste heat recovery applications, owing to their high dimensionless figure of merit and power factor. However, these materials are reported to exhibit pesting-like oxidation; therefore, it is necessary to develop protective coating technologies at device level to suppress the oxidation of SKD materials for terrestrial power generation applications. Several coating layers including Al2O3, MgO, and SiC were investigated to enhance the durability of SKD materials upon exposure to air. The SiC coating layer effectively prevents oxygen diffusion into the SKD even after thermal aging in air at 450 °C for 10 h. Further, the SiC coating layer was tightly bonded to the SKD without forming an intermetallic compound with SKD. To verify the performance change of SKD after thermal aging, an SKD uni-couple was fabricated and its internal resistance and open-circuit voltage were measured. The obtained thermoelectric parameters demonstrated that the SiC coating layer could prevent the performance degradation of SKD due to oxygen diffusion.