Transport properties of the skutterudite compound In_0.2Co₄Sb₁₂ containing ZnO or PbTe nano-sized particles (2-12 wt%) were investigated by means of electrical resistivity, thermopower and thermal conductivity between 5 and 800 K. The composite powders were prepared by freeze-drying the nanoparticles with micron-sized In_0.2Co₄Sb₁₂ powders. Densification was achieved by spark plasma sintering. All composites were characterized by X-ray powder diffraction and scanning electron microscopy. All the transport coefficients show similar temperature dependences suggesting little influence of the nature, semiconducting or insulating, of the nanoparticles. Both the electrical and the thermal conductivities decrease with increasing the PbTe or ZnO content. The impact of ZnO and PbTe on the thermal conductivity was modelled based on the Debye model taking into account a relaxation time constant reflecting phonon scattering by spherical nanoparticles. A maximum dimensionless figure of merit ZT of 1.05 at 700 K was achieved in a sample containing 2 wt% ZnO, a value quite similar to that of the reference In_0.2Co₄Sb₁₂ compound.