The electronic structures of monolayer and bilayer SnSe
2
under pressure were investigated by using first-principles calculations including van der Waals interactions. For monolayer SnSe
2
, the variation of electronic structure under pressure is controlled by pressure-dependent lattice parameters. For bilayer SnSe
2
, the changes in electronic structure under pressure are dominated by intralayer and interlayer atomic interactions. The
n
-type thermoelectric properties of monolayer and bilayer SnSe
2
under pressure were calculated on the basis of the semi-classical Boltzmann transport theory. It was found that the electrical conductivity of monolayer and bilayer SnSe
2
can be enhanced under pressure, and such dependence can be attributed to the pressure-induced changes of the Se–Sn antibonding states in conduction band. Finally, the doping dependence of power factors of
n
-type monolayer and bilayer SnSe
2
at three different pressures were estimated, and the results unveiled that thermoelectric performance of
n
-type monolayer and bilayer SnSe
2
can be improved by applying external pressure. This study benefits to understand the nature of the transport properties for monolayer and bilayer SnSe
2
under pressure, and it offers valuable insight for designing high-performance thermoelectric few-layered SnSe
2
through strain engineering induced by external pressure.