The urgent need for sustainable energy solutions has driven the development of efficient waste heat recovery technologies. In this study, we explore ZnSb-based thermoelectric materials enhanced with graphene barrier layers to improve their thermal and electrical properties. Three fabrication processes, involving mechanical alloying, melting, and spark plasma sintering, were compared for microstructural optimization. The sample prepared by Process III (which involved direct ball milling of raw powders followed by spark plasma sintering without a melting step) achieved the best performance, yielding a relative density of 99.075% and an enhanced phonon scattering due to fine, uniform grains. Graphene barriers, synthesized by chemical vapor deposition, effectively suppressed interfacial diffusion and improved thermal stability. Raman spectroscopy confirmed the graphene’s high structural quality, whereas SEM analysis demonstrated significantly reduced diffusion zones, even at elevated temperatures. The optimized ZnSb–graphene composites exhibited improved Seebeck coefficients and reduced lattice thermal conductivity, leading to a high figure of merit (ZT). These results highlight the potential of ZnSb–graphene materials for waste heat sensing and energy harvesting, offering a pathway to more sustainable energy systems.