Conducting polymers as thermoelectric (TE) materials have drawn extensive attention most recently because they are intrinsically light weight, flexible, highly processable, abundant in nature, and have especially low thermal conductivity. Relative studies have been focused on several typical structures such as polyacetylene, polyaniline, polythiophenes. However, TE performance of polyselenophenes have drawn very little attention because of its unstability and difficulty in synthesis. Previously, our group demonstrated that polyselenophene revealed high Seebeck coefficient (>180 μV K−1), but their electrical conductivity was very low (typically 10−5–10−2 S cm−1). For the sake of improving the thermoelectric performance of polyselenophene, the simplest and most effective method is to copolymerize with other high-performance thermoelectric materials. Herein, 3,4-ethylenedioxythiophene (EDOT), the monomer precursor of poly(3,4-ethylenedioxythiophene) (probably the best organic thermoelectric materials so far) was chosen to copolymerize with selenophene (SE) under different feeding ratios via electropolymerization to improve the thermoelectric performance. It is found that the electrical conductivity of all the copolymer films was obviously enhanced with the highest value of 0.91 S cm−1 by inserting EDOT in the conjugated block, whereas their Seebeck coefficient was brought down to 12 μV K−1. In this work, We obtained four different feeding ratios copolymers of SE and EDOT, 2:1 (PA), 1:1 (PB), 1:2 (PC), and 1:5 (PD). The copolymers had improved electrical conductivity and environmental stability compared with polyselenophene. Furthermore, with increasing the feeding ratio of EDOT, the TE performance of the copolymers was significantly improved.