Thermoelectric materials have attracted extensive attention because they can directly convert waste heat into electric energy. As a brand-new method of alloying, high-entropy alloys (HEAs) have attracted much attention in the fields of materials science and engineering. Recent researches have found that HEAs could be potentially good thermoelectric (TE) materials. In this study, special quasi-random structures (SQS) of PbSnTeSe high-entropy alloys consisting of 64 atoms have been generated. The thermoelectric transport properties of the highest-entropy PbSnTeSe-optimized structure were investigated by combining calculations from first-principles density-functional theory and on-the-fly machine learning with the semiclassical Boltzmann transport theory and Green–Kubo theory. The results demonstrate that PbSnTeSe HEA has a very low lattice thermal conductivity. The electrical conductivity, thermal electronic conductivity and Seebeck coefficient have been evaluated for both n-type and p-type doping. N-type PbSnTeSe exhibits better power factor (PF = S2σ) than p-type PbSnTeSe because of larger electrical conductivity for n-type doping. Despite high electrical thermal conductivities, the calculated ZT are satisfactory. The maximum ZT (about 1.1) is found at 500 K for n-type doping. These results confirm that PbSnTeSe HEA is a promising thermoelectric material.