The n-type semiconductor system Bi₂Te₃Bi₂Se₃ is known as a low-temperature thermoelectric material with a potentially high efficiency. Herein, a facile approach is reported to synthesize core/shell heterostructured Bi₂Te₂Se/Bi₂Te₃ nanosheets (NSs) with lateral dimensions of 1–3 μm and thickness of about 50 nm. Bi₂Te₃ and Bi₂Se₃, as well as heterostructured Bi₂Te₂Se/Bi₂Te₃ NSs are obtained via colloidal synthesis. Heterostructured NSs show an inhomogeneous distribution of the chalcogen atoms forming selenium and tellurium-rich layers across the NS thickness, resulting in a core/shell structure. Detailed morphological studies reveal that these structures contain nanosized pores. These features contribute to the overall thermoelectric properties of the material, inducing strong phonon scattering at grain boundaries in compacted solids. NSs are processed into nanostructured bulks through spark plasma sintering of dry powders to form a thermoelectric material with high power factor. Electrical characterization of our materials reveals a strong anisotropic behavior in consolidated pellets. It is further demonstrated that by simple thermal annealing, core/shell structure can be controllably transformed into alloyed one. Using this approach pellets with Bi₂Te_2.55Se_0.45 composition are obtained, which exhibit low thermal conductivity and high power factor for in-plane direction with zT of 1.34 at 400 K.