The electronic structures of monolayer and bilayer SnSe2 under pressure were investigated by using first-principles calculations including van der Waals interactions. For monolayer SnSe2, the variation of electronic structure under pressure is controlled by pressure-dependent lattice parameters. For bilayer SnSe2, the changes in electronic structure under pressure are dominated by intralayer and interlayer atomic interactions. The n-type thermoelectric properties of monolayer and bilayer SnSe2 under pressure were calculated on the basis of the semi-classical Boltzmann transport theory. It was found that the electrical conductivity of monolayer and bilayer SnSe2 can be enhanced under pressure, and such dependence can be attributed to the pressure-induced changes of the Se–Sn antibonding states in conduction band. Finally, the doping dependence of power factors of n-type monolayer and bilayer SnSe2 at three different pressures were estimated, and the results unveiled that thermoelectric performance of n-type monolayer and bilayer SnSe2 can be improved by applying external pressure. This study benefits to understand the nature of the transport properties for monolayer and bilayer SnSe2 under pressure, and it offers valuable insight for designing high-performance thermoelectric few-layered SnSe2 through strain engineering induced by external pressure.