Zirconium diselenide (ZrSe2) is one of many members of the layer-structured transition-metal dichalcogenide family. The structure of these materials features a weakly bonded van der Waals gap between covalently bonded CdI2-type atomic layers that may host a wide range of intercalants. Intercalation can profoundly affect the structural, thermal, and electronic properties of such materials. While the thermoelectric potential of layer-structured transition-metal dichalcogenides has been formerly studied by several groups, to our best knowledge, neither the thermoelectric properties of ZrSe2 nor the impact of intercalation on its thermoelectric properties have been reported (specifically, the full evaluation of the dimensionless figure of merit, ZT, which includes the thermal conductivity). In this proof-of-principle study, ZrSe2 single crystals have been synthesized using an iodine-assisted vapor transport method, followed by a wet-chemistry lithium intercalation process. The results of resistivity, thermopower, and thermal conductivity measurements between 10 K and 300 K show that Li intercalation induced additional charge carriers and structural disorder that favorably affected the thermoelectric properties of the material. As a result, a dimensionless figure of merit ZT ≈ 0.26 has been attained at room temperature in a Li-intercalated sample, representing nearly a factor of three improvement compared with the pristine sample. These improvements, along with the abundance, relatively low toxicity, and low cost of such materials, merit further thermoelectric investigations of intercalated zirconium diselenide, especially in conjunction with a substitutional doping approach.