N‐type Mg3(Bi, Sb)2‐based thermoelectric (TE) alloys show great promise for solid‐state power generation and refrigeration, owing to their excellent figure‐of‐merit (ZT) and using cheap Mg. However, their rigorous preparation conditions and poor thermal stability limit their large‐scale applications. Here, this work develops an Mg compensating strategy to realize n‐type Mg3(Bi, Sb)2 by a facile melting‐sintering approach. “2D roadmaps” of TE parameters versus sintering temperature and time are plotted to understand the Mg‐vacancy‐formation and Mg‐diffusion mechanisms. Under this guidance, high weight mobility of 347 cm2 V−1 s−1 and power factor of 34 µW cm−1 K−2 can be obtained for Mg3.05Bi1.99Te0.01, and a peak ZT≈1.55 at 723 K and average ZT≈1.25 within 323–723 K can be obtained for Mg3.05(Sb0.75Bi0.25)1.99Te0.01. Moreover, this Mg compensating strategy can also improve the interfacial connecting and thermal stability of corresponding Mg3(Bi, Sb)2/Fe TE legs. As a consequence, this work fabricates an 8‐pair Mg3Sb2‐GeTe‐based power‐generation device reaching an energy conversion efficiency of ≈5.0% at a temperature difference of 439 K, and a one‐pair Mg3Sb2‐Bi2Te3‐based cooling device reaching −10.7 °C at the cold side. This work paves a facile way to obtain Mg3Sb2‐based TE devices at low cost and also provides a guide to optimize the off‐stoichiometric defects in other TE materials.