Thermoelectric materials are strategically valuable for sustainable development, as they allow for the generation of electrical energy from wasted heat. In recent years several strategies have demonstrated some efficiency in improving thermoelectric properties. Dopants affect carrier concentration, while thermal conductivity can be influenced by alloying and nanostructuring. Features at the nanoscale positively contribute to scattering phonons, however those with long mean free paths remain difficult to alter. Here we use the concept of hierarchical nano-grains to demonstrate thermal conductivity reduction in rocksalt lead chalcogenides. We demonstrate that grains can be obtained by taking advantage of the reconstructions along the phase transition path that connects the rocksalt structure to its high-pressure form. Since grain features naturally change as a function of size, they impact thermal conductivity over different length scales. To understand this effect we use a combination of advanced molecular dynamics techniques to engineer grains and to evaluate thermal conductivity in PbSe. By affecting grain morphologies only, i.e. at constant chemistry, two distinct effects emerge: the lattice thermal conductivity is significantly lowered with respect to the perfect crystal, and its temperature dependence is markedly suppressed. This is due to an increased scattering of low-frequency phonons by grain boundaries over different size scales. Along this line we propose a viable process to produce hierarchical thermoelectric materials by applying pressure via a mechanical load or a shockwave as a novel paradigm for material design.