CrN was doped with Mo and W to study the effect of heavy elements alloying on its thermoelectric properties. An spontaneous phase segregation into Mo- and W-rich regions was observed even at the lowest concentrations probed at this work (≃1%). In the particular case of W, this segregation creates nanoinclusions into the Cr1-xWxN matrix, which results in a substantial reduction of the thermal conductivity in the whole temperature range compared to undoped CrN. In addition, an increased hybridization of N:2p and 4d/5d orbitals with respect to Cr:3d decreases the electrical resistivity in lightly doped samples. This improves substantially the thermoelectric figure of merit with respect to the undoped compound, providing a pathway for further improvement of the thermoelectric performance of CrN.