With the complexity and diversification of thermoelectric (TE) application scenarios, it becomes increasingly difficult for single-component thermoelectric materials to satisfy practical demands. Therefore, recent researches have largely focused on the development of the multi-component nanocomposites, which are probably a good solution for the TE application of some materials that are not eligible when used alone. In this work, a seires of single-walled carbon nanotube (SWCNT)/polypyrrole (PPy)/tellurium (Te)/lead telluride (PbTe) multi-layer flexible composite films were fabricated via the successive electrodeposition of the flexible PPy layer with a low thermal conductivity, the ultra-thin Te induction layer, and the brittle PbTe layer with a large Seebeck coefficient over the pre-fabricated SWCNT membrane electrode with a high electrical conductivity. Through the complementary advantages between different components and the multiple synergies of the interface engineering, the SWCNT/PPy/Te/PbTe composites harvested the excellent TE performance with a maximum power factor (PF) of 929.8 ± 35.4 µW m−1 K−2 at room temperature, outperforming those of most of the electrochemically-prepared organic/inorganic TE composites reported previously. This work evidenced that the electrochemical multi-layer assembly is a feasible tactic for constructing special thermoelectric materials to meet customized requirements, which could also be applied to other material platforms.