Thermoelectric materials can effectively convert waste heat into electrical energy and receive more and more attention. Zintl phase Mg3Sb2 is a typical layered thermoelectric material and the anisotropy in crystalline structure induces strong anisotropy in its thermoelectric properties. As a result, polycrystalline Mg3Sb2 usually can not achieve the maximum thermoelectric performance. Our research proves that the dimensionality reduction in material structure can not only avoid certain crystalline direction's poor thermoelectric properties but also effectively reduce the lattice thermal conductivity. Within the framework of the density functional theory, the thermoelectric performance of two-dimensional Mg3Sb2 mono layer is accurately investigated. The ZT value of the Mg3Sb2 nano-thin film can reach 2.5 at 900 K, which is larger than that of the bulk. The theoretical results indicate that the process of nano-engineered structure can significantly enhance the energy conversion efficiency of thermoelectrics.