The main bottleneck in obtaining high-performance thermoelectric (TE) materials is identified as how to decouple the strong interrelationship between electrical and thermal parameters. Herein, a precise interface modification approach based on the powder atomic layer deposition (ALD) technology is presented to enhance the performance of CuNi alloys. ZnO and Al₂O₃ layers as well as their combinations are deposited on the surface of powders, typically in 10–100 ALD cycles, and their effects on the TE performance of bulks is thoroughly investigated. The enhancement of the Seebeck coefficient, caused by the energy filtering effect, compensates for the electrical conductivity deterioration due to the low electrical conductivity of oxide layers. Furthermore, the oxide layers may significantly increase the phonon scattering. Therefore, to reduce the resistivity of coating layer, a multilayer structure is deposited on the surface of powders by inserting Al₂O₃ into ZnO. The accurate microstructure characterization shows that the Al atoms diffused into ZnO and realized the doping effect after pressing. Al diffusion has the potential to increase the electrical conductivity and complexity of coating layers. Compared to pure CuNi, zT increases by 128% due to the decrease in resistivity and stronger phonon scattering in phase boundaries.