Chalcogenide perovskite materials have received extensive attention in the field of thermoelectrics (TEs) due to their inherent large Seebeck coefficient and ultra-low thermal conductivity. Herein, we demonstrate that the orthorhombic CaZrS3 perovskite is a promising TE material by using first-principles calculations combined with the semiclassical Boltzmann transport theory. The anisotropic property has been observed clearly on the electronic properties and TE performances of CaZrS3 along a, b, and c directions. The orthorhombic CaZrS3 shows excellent thermal stability, which leads to superior performance of electric and thermal conductivities simultaneously; thus it possesses outstanding power factor and ultra-low thermal conductivity and yields impressive ZT values of n-4.06 and p-2.62. This study provides a guideline for chemical doping and provides inspiration for the promotion of related experimental investigations.