The nanoparticles of strontium hexaboride (SrB6) were synthesized by a mechanically induced magnesiothermic combustion in the Mg/B2O3/SrO system. Ignition time in this system was recorded to be 23 min of milling. X-ray diffraction(XRD), X-ray photoelectron spectroscopy (XPS), and high-resolution transmission electron microscopy (HRTEM) techniques were used to characterize the combustion product. Thermal analysis was employed to assess the formation mechanism. It was revealed that Mg initially reduced B2O3 in a combustive manner to generate elemental boron and a large amount of heat, resulting in the reduction of SrO by Mg at high temperature. The in-situ formed elemental Sr and B react immediately to generate SrB6. Thermoelectric properties of consolidated SrB6, including thermal conductivity, Seebeck coefficient, electrical conductivity, and figure-of-merit were evaluated at the temperature range of 300–873 K.