Topological valley photonics provides a unique way to manipulate the flow of light. In general, valley edge states that exhibit unidirectional propagation and are immune to defects and disorders could be realized at the interface between two valley photonic crystals with opposite valley Chern numbers. Herein, by merging the physics of valley edge states and bound states in the continuum, we propose and numerically demonstrate a novel, to the best of our knowledge, concept of edge states termed bound valley edge states in the continuum, which enjoys the topological features of valley edge states, such as, unidirectional propagation and immunity to disorders, but are formed at the interface between air and a single valley photonic crystal. Our results not only provide an effective way to reduce the size of valley photonic structures but also facilitate new applications where the proposed concept of bound valley edge states in the continuum could be exploited for optical sensing and unidirectional waveguiding.