Vertically stacked materials have received much attention due to the possibilities of effective modulation of their electronic and transport properties. In this work, we combine first-principles calculations and Boltzmann theory to investigate the thermoelectric properties of the van der Waals superlattice formed by alternately stacking the WS2 and WTe2 layers along the out-of-plane direction. Both the ab-initio molecular dynamics simulation and the phonon dispersion relations indicate that the superlattice structure is rather stable. Compared with those of the bulk WS2 and WTe2, our system exhibits much lower interlayer lattice thermal conductivity originated from the mixed covalent and van der Waals bonding. Besides, the weaker energy dispersions and higher band degeneracy along the out-of-plane direction lead to a larger power factor, which in turn gives a significantly enhanced ZT value of ∼2.4 at 800 K. Collectively, our theoretical work demonstrates the great advantage of engineering layered structure for thermoelectric applications.