BiCuSeO oxyselenides have been successfully fabricated by self-propagating high-temperature synthesis (SHS). Compared with the SHS process of binary or ternary alloys, thermal analysis indicates the ignition temperature of quaternary layered BiCuSeO oxyselenides approaches the second lower melting point of the compound. The ZT value of SHS-synthesized BiCuSeO is almost 1.5 times larger than that of the solid state reaction (SSR) product at 873 K. This is attributed to the existing amorphous region, nano-pores, and optimized grain size. Furthermore, with the partial substitution of Pb²⁺ for Bi³⁺, ZT was enhanced through the optimization of charge carrier concentration and band gap narrowing. This achieved a ZT of 0.91 at 873 K for Bi_1−xPb_xCuSeO (x = 0.04). Combining with the Debye–Callaway model analysis, the ultralow lattice thermal conductivity of BiCuSeO can potentially be derived from the synergistic effect of intrinsic point defects, efficient grain boundaries and some other mechanisms.