A thermoelectric generator is a powerful system used to produce electricity by the action of heat. The development of nanostructured thermoelectric materials is widespread with the objective to improve their efficiency. However, if these materials are used at high temperatures under oxidative atmosphere (e.g., in air), they may suffer degradation in service, drastically decreasing their lifespan. This work investigates the oxidation behavior of an innovative skutterudite material made of cerium, iron, cobalt and antimony (Ce0.75Fe3CoSb12) either microstructured or nanostructured. For that purpose, several oxidation experiments are carried out under a flow of synthetic air at 650 K (15 h, 50 h and 100 h). The oxide layers formed on surface are observed, and their characteristics (chemical composition, thickness, structure) are compared to those obtained with microstructured Ce0.75Fe3CoSb12 samples. As a result, it is observed that the nanostructuring of the skutterudite materials slightly slow down the oxidation reactions in air. Consequently, the nanostructured Ce0.75Fe3CoSb12 is established to be a promising thermoelectric material for use in oxidative environments.