Inspired by the remarkable performance of SnSe‐based compounds in thermoelectrics, a strontium‐tin‐selenium (SrSnSe2) compound is theoretically designed, observing anisotropic Rashba spin‐orbital splitting and strong four‐phonon scattering behavior. Through comprehensive analyses of elastic constants, phonon dispersion, and ab initio molecular dynamics calculations, the mechanical, dynamic, and thermal stability of SrSnSe2 is demonstrated. Electronic calculations reveal that the anisotropic band is decomposed into two distinct bands (heavy and light) due to anisotropic Rashba spin splitting, significantly impacting the electrical transport properties for n‐type and p‐type systems. Moreover, phonon dispersion analysis shows an avoided‐crossing behavior in SrSnSe2, attributed to the expression of the 5s2 lone pair. Notably, four‐phonon scattering in SrSnSe2 lacking phonon bandgap is particularly pronounced compared to SnSe, which is ascribed to the Jahn‐Teller‐like distortion of the SrSe6 octahedron. Combining multiple scattering mechanisms, the optimal thermoelectric performance is evaluated, achieving a ZT of ≈2.57 at 900 K for n‐type and ≈2.47 at 900 K for p‐type SrSnSe₂ under different carrier concentrations and temperatures. The results discover the underlying unusual transport mechanisms in SrSnSe2 thermoelectrics, providing a theoretical case for manipulating anisotropic Rashba band splitting and phonon scattering selection rule.