In this work, Gd-filled skutterudite GdxCo4Sb12 was prepared using one step method under high pressure in a piston-cylinder-based press at 3.5 GPa and moderate temperature of 800 °C. A detailed structural characterization was performed using synchrotron X-ray diffraction (SXRD), revealing a filling fraction of x = 0.033(2) and an average <Gd–Sb> bond length of 3.3499(3) Å. The lattice thermal expansion accessed via temperature-dependent SXRD led to a precise determination of a Debye temperature of 322(3) K, from the fitting of the unit-cell volume expansion using the second order Grüneisen approximation. This parameter, when evaluated through the mean square displacements of Co and Sb, displayed a value of 265(2) K, meaning that the application of the harmonic Debye theory underestimates the Debye temperature in skutterudites. Regarding the Gd atom, its intrinsic disorder value was ~5× and ~25× higher than those of the Co and Sb, respectively, denoting that Gd has a strong rattling behavior with an Einstein temperature of θE = 67(2) K. As a result, an ultra-low thermal conductivity of 0.89 W/m·K at 773 K was obtained, leading to a thermoelectric efficiency zT of 0.5 at 673 K.