AbstractLightweight and low‐cost flexible thermoelectric (TE) materials improve the heat‐to‐electricity conversion efficiency compared to rigid materials by minimizing the heat loss between TE devices and heat sources in waste heat recovery. Multi‐walled carbon nanotube (MWCNT) has excellent mechanical and electrical properties. However, the TE power factor (PF) of MWCNTs is much lower than single/double‐walled carbon nanotube (S/DWCNT), which is often lower than 40 µW m−1‐K−2. Herein an effective way to achieve high PFs of ≈1800 µW m−1‐K−2 for p‐type and ≈1000 µW m−1‐K−2 for n‐type in flexible MWCNT films is reported. The high power factor is achieved by taking advantage of the anisotropic electrical conductivity and isotropic Seebeck coefficient feature of 1D CNTs as well as the following doping and cold‐pressing to improve the electrical conductivity of MWCNT films. The PF values are comparable to that of state‐of‐the‐art S/DWCNT films and most inorganic TE materials. A Lego‐like TE generator (TEG) with an assembling structure is fabricated to show the heat‐to‐electricity ability of the materials, which exhibits the highest areal output power of ≈27 W m−2 among CNT‐based flexible TEGs. This method may be extended to other 1D‐material based composites to boost the development of high PF flexible TE materials.