DFT prediction of the structural, electronic, thermoelectric and optical properties of ternary pnictides MgBe2X2 (X = N, P, As, Sb and Bi) are investigated by using the all electron full potential linearized augment plane wave method. Geometrical optimization is carried out using the generalized gradient approximation (GGA). The exchange potential modified Becke Johnson (mBJ) along with the GGA is used to calculate the electronic and optical properties. MgBe2Sb2 and MgBe2Bi2 show semi-metallic nature whereas the rest of the compounds are semiconducting. The dielectric function, optical conductivity, reflectivity, and optical conductivity are calculated. The static value of the reflectivity R(0) and energy band gap (Eg) vary inversely to each other. The thermoelectric properties such as electrical conductivity, thermal conductivity, Seebeck coefficient and ZT are also studied by practicing Boltzmann statistics through Boltztrap code. MgBe2Bi2 has among the compound highest electrical conductivity at high temperature. The (N, P and As) based compounds are P-type while (Sb and Bi) based compound are N-type thermoelectric materials. High optical and thermal response for all compounds reveals that they are potential candidates for thermoelectric devices. •MgBe2X2 (X = N, P, As, Sb and Bi) compounds are studied by FP-LAPW + lo method.•Major part is played by X-p state and Be-p states in the valence/conduction bands.•Mixed covalent and ionic-like character bonding observed.•Optical peaks shifted towards lower energy by changing the anions from N to Bi.•These materials have efficient thermoelectric properties.