The phase formation and thermoelectric transport properties of FeSe₂–CoSe₂ systems were investigated by synthesizing a series of (Fe_1–xCo_x)Se₂ polycrystalline alloys (x = 0, 0.25, 0.5, 0.75, and 1). It was observed that as x increased from 0 to 0.5, lattice parameters increased while the orthorhombic structure of FeSe₂ was retained. The bipolar conduction behavior of FeSe₂ (x = 0) changed to n-type conduction at all measured temperatures. The electrical conductivity is greatly increased with x, and the largely enhanced power factor of 1.37 mW/mK² at 600 K is seen for Fe_0·5Co_0·5Se₂ (x = 0.5) compared to 0.37 mW/mK² for FeSe₂. As x is further increased to 0.75 (Fe_0·25Co_0·75Se₂), the cubic phase of CoSe₂ started to form and no further enhancement of power factor is seen. Lattice thermal conductivity is gradually decreased to 3.18 and 1.79 W/mK Fe_0·75Co_0·25Se₂ (x = 0.25) and Fe_0·5Co_0·5Se₂ (x = 0.5) at 600 K, compared to 4.36 W/mK for x = 0 (FeSe₂). Consequently, the thermoelectric figure of merit zT at 600 K for Fe_0·75Co_0·25Se₂ (x = 0.25) and Fe_0·5Co_0·5Se₂ (x = 0.5) is greatly enhanced to 0.14 and 0.16, respectively, compared to 0.05 for x = 0 (FeSe₂).