BiCuSeO is a promising thermoelectric material but needs a complicated synthesis process. In this work, fine-grained BiCuSeO samples with high phase purity were synthesized by a combination of mechanical alloying (MA) and spark plasma sintering (SPS). It is found that BiCuSeO compounds can be formed by the reaction between BiSe and CuO, after BiSe appeared firstly when using Bi, Se, and CuO as raw materials during MA process. The electrical conductivity of the corresponding bulk attains a modest enhancement due to the significantly increased carrier concentration although the carrier mobility was reduced compared with the sample prepared by classical solid-state reaction. The total thermal conductivity is below 0.7 W/mK in the whole measured temperature range, which is attributable to the increased defects and gain boundaries. As a result, a relatively high ZT value of 0.50 was obtained for the pristine BiCuSeO sample. In addition, when Bi was replaced by Ca element, the electrical transport property of the samples was improved, resulting in an enhancement of ZT in the whole measured temperature range.