Separation of epitaxial thin films on growth substrate and transferring onto other materials for functional heterostructures have boosted the transformative impact on science and technology. However, this scheme has proved challenging in thin film thermoelectrics, but promised a vast range of applications beyond the limited device configurations of bulk thermoelectrics. Here, we demonstrate that the Bi0.5Sb1.5Te3 (BST) epitaxial thin film on sapphire substrate grown by spontaneous van der Waals epitaxy (vdWE) is exfoliated and transferred onto versatile materials, creating the high-quality freestanding thermoelectric membranes. Unprecedented millimeter-size vdWE BST membranes are produced by etching pseudomorphic Te monolayer on the surface of sapphire substrate in dilute HF solution. The intact exfoliation and direct transfer for vdWE BST membranes ensures a high thermoelectric performance, maintaining the high-quality crystallinity and subsequently showing the remarkable zT value (~0.9 at 300 K) in thin film thermoelectrics. These results represent the realization of long pursued but yet to be demonstrated high-performance thin film thermoelectrics, paving the way for design and fabrication of arbitrary shaped thermoelectric devices.