Thermoelectric (TE) property refers to converting thermal energy into electrical energy via Seebeck effect. Theoretically, the presence of a low thermal conductivity and a high thermoelectric power factor in a same material promises a good thermoelectric performance. In this paper, we investigate the thermal transport and thermoelectric properties of crystalline mercury chalcogenides (HgX, X = O, S, Se, Te) based on first-principles calculations combined with Boltzmann transport equation and electron–phonon interaction (EPI). Remarkably, the calculated lattice thermal conductivity κL of the semiconducting mercury chalcogenides (α-HgO and α-HgS) are fairly low (κL~0.60 W/mK at 300 K, which is about 38% of the value for the typical thermoelectric material PbTe), while the corresponding power factors S2σ for α-HgS are relatively high, which, as a result, leads to a good thermoelectric performance in α-HgS, with the thermoelectric figure of merit ZT even exceeding 1.28. However, the highest ZT of α-HgO is only 0.58 due to the relatively low S2σ. For comparison, the lattice thermal conductivity κL of the semimetallic mercury chalcogenides (β-HgS, β-HgSe, and β-HgTe) are much higher than that of PbTe, limiting the applications in thermoelectricity. These results indicate that semiconducting mercury chalcogenides may be potential candidates for the design of thermoelectric generators.