In this paper, a high pressure setup is presented for performing simultaneous measurements of Seebeck coefficient and thermal diffusivity in multianvil apparatus for the purpose of enhancing the study of transport phenomena. Procedures for the derivation of Seebeck coefficient and thermal diffusivity/conductivity, as well as their associated sources of errors, are presented in detail, using results obtained on the filled skutterudite, Ce(0.8)Fe(3)CoSb(12,) up to 12 GPa at ambient temperature. Together with recent resistivity and sound velocity measurements in the same apparatus, these developments not only provide the necessary data for a self-consistent and complete characterization of the figure of merit of thermoelectric materials under pressure, but also serve as an important tool for furthering our knowledge of the dynamics and interplay between these transport phenomena.