Bi2Te3‐based devices have long dominated the commercial market for thermoelectric cooling applications, but their narrow operating temperature range and high cost have limited their possible applications for conversion of low‐grade heat into electric power. The recently developed n‐type Mg3Sb2‐based compounds exhibit excellent transport properties across a wide temperature range, have low material costs, and are nontoxic, so it would be possible to substitute the conventional Bi2Te3 module with a reliable and low‐cost all‐Mg3Sb2‐based thermoelectric device if a good p‐type Mg3Sb2 material can be obtained to match its n‐type counterpart. In this study, by comprehensively regulating the carrier concentration, carrier mobility, and lattice thermal conductivity, the thermoelectric performance of p‐type Mg3Sb2 is significantly improved through Na and Yb doping in Mg1.8Zn1.2Sb2. Moreover, p‐ and n‐type Mg3Sb2 are similar in terms of their coefficients of thermal expansion and their good performance stability, thus allowing the construction of a reliable all‐Mg3Sb2‐based unicouple. The decent conversion efficiency (≈5.5% at the hot‐side temperature of 573 K), good performance stability, and low cost of this unicouple effectively promote the practical application of Mg3Sb2‐based thermoelectric generators for low‐grade heat recovery.