In this study, advanced first‐principles calculations combined with self‐consistent phonon theory and the Boltzmann transport equation are used to assess the thermoelectric properties of novel Full–Heusler materials X2YTe (X = Na, K, Rb, Cs; Y = Zn, Cd, Hg). These materials exhibit low formation energies, facilitating synthesis under standard conditions. This analysis showed that lattice anharmonicity increases with the atomic mass of X and decreases with the atomic mass of Y due to the rattling effect of Y atoms. Significant rattling effects are identified, prompting the inclusion of higher‐order anharmonic effects. By renormalizing the phonon spectrum and accounting for three‐phonon and four‐phonon scattering, the mechanisms behind the low lattice thermal conductivity in these compounds is uncovered. The combination of low lattice thermal conductivity and high power factors resulted in remarkable thermoelectric figure of merit values at optimal doping concentrations and temperatures. Notably, except for Na2ZnTe and Na2HgTe, all other materials surpassed the long‐standing figure of merit record of less than 3, with Rb2ZnTe achieving a figure of merit of 8.11 at 700 K with an n‐type doping concentration of 2 × 1019. The inclusion of spin‐orbit coupling led to less than a 10% reduction in the thermoelectric figure of merit, underscoring the superior thermoelectric performance of these materials.