Isolated monolayer two-dimensional (2D) materials have attracted great attentions due to their unique optical, electrical, mechanical, thermoelectric properties and potential applications in nanoelectronic, optoelectronic and thermoelectric devices. However, it more and more difficult to find high performance and multifunctional monolayer 2D materials. The 2D van der Waals (vdW) heterostructure, which holds two different 2D materials together by vdW interactions, has opened up a new horizon in modulation of the energy band structure, the anisotropy of electrons and phonons, and the improvement of their thermoelectric properties for monolayer 2D materials. In this work, we theoretically investigated the anisotropy in the physical properties of 2D vdW heterostructure comprising of monolayer S3N2 and black phosphorene (BP) using first-principles method. It is demonstrated that the AB1 stacking is the most stable dynamic and thermodynamics in the S3N2/BP heterostructure with vdW interaction between layers. The Young’s modulus and Poisson's ratio of AB1 stacking along the x direction are 3 times of those along the y direction. Based on the Boltzmann transport theory within the relaxation time approximation, we demonstrated that AB1 stacking of S3N2/BP vdW heterostructure has significant anisotropy in the electron and phonon transport. Due to larger anharmonicity results in larger three-phonon scattering rates, the thermal conductivity of AB1 stacking of this heterostructure is half that of the pristine monolayer BP. We find the one with n-type (p-type) doping exhibits a peak figure of merit (ZT) value of 1.78 (0.52) at 300 K along x direction, while those peak ZT value of 2.04 (0.69) along y direction, exceeding the highest value of the monolayer BP doped with n-type or p-type doping. Our results would pave a way for applications to flexible and thermoelectric 2D materials.