High-quality epitaxial Mg3Sb2 thin films are promising thermoelectric materials to enable practical applications of compact and environmentally friendly thermoelectric conversion at room temperature. In this study, high-quality single-crystal Mg3Sb2 with high c-plane orientation were epitaxially grown directly on annealed c-Al2O3 substrates without passive layers. These thin films exhibited three times higher thermoelectric power factor than ever reported values due to high carrier mobility. The ultra-smooth surface of the annealed c-Al2O3 substrate facilitated the formation of high-quality Mg3Sb2 thin films without passive layers or polycrystalline interfaces that could be carrier scatters.