In this study, various coatings including Mo, Ti, Y2O3-stabilized ZrO2 (YSZ)/Ti films were deposited on the CoSb3 substrate using magnetron sputtering to suppress the sublimation of antimony in CoSb3 during thermal aging tests. The microstructure and growth of films were observed using scanning electron and atomic force microscopes. The thermal aging behavior of CoSb3 coated with various films was investigated through an accelerated experiment at 923 K for 24 h. The weight loss of CoSb3 decreased with the thickness of coatings increasing. Among these films, the YSZ/Ti film can suppress the sublimation of antimony in CoSb3 more effectively. Compared with the uncoated CoSb3 material, the degradation of thermoelectric properties for coated CoSb3 samples decreased slowly after the accelerated thermal aging test.