In this research, we applied a full‐potential linearized muffin‐tin orbital (FP‐LMTO) method to investigate the optoelectronic properties such as electronic structures and optical properties in the first phase, and then we try to improve the thermoelectric performance through the substitution by an element alkaline earth metal (Mg). The analysis of band structure and optical properties indicate a semiconductors character with wide directly band gap along alkaline earth metal element (Mg) substitution. The present comprehensive analyses of electronic and optical properties of these alloys predict that they could be useful for optoelectronic devices. Thermal parameters such as thermal conductivity and power factor show good improvement for very small substitutions; this tells me that our material has a ZT close to promising alloys in thermoelectric applications. This result encourages going deep in order to obtain good thermoelectric performance at high temperature which requires adjusting the concentration of carriers, thermal conductance and the amount of Mg. At the end, Mg doped ZnSe is a favorable material for both optoelectronic and thermoelectric application.