Heterogeneous composites consisting of Bi6Cu2Se3.6Cl0.4O6 and Bi2O2Se are prepared according to the concept of modulation doping. With prominently increased carrier mobility and almost unchanged effective mass, the electrical transport properties are considerably optimized resulting in a peak power factor ≈1.8 µW cm−1 K−2 at 873 K, although the carrier concentration is slightly deteriorated. Meanwhile, the lattice thermal conductivity is lowered to ≈0.62 W m−1 K−1 due to the introduction of the second phase. The modified Self‐consistent Effective Medium Theory is utilized to explain the deeper mechanism of modulation doping. The enhancement of apparent carrier mobility is derived from the highly active phase interfaces as fast carrier transport channels, while the reduced apparent thermal conductivity is ascribed to the existence of thermal resistance at the phase interfaces. Ultimately, an optimized ZT ≈0.23 is obtained at 873 K in Bi6Cu2Se3.6Cl0.4O6 + 13% Bi2O2Se. This research demonstrates the effectiveness of modulation doping for optimizing thermoelectric properties once again, and provides the direct microstructure observation and consistent theoretical model calculation to emphasize the role of interface effects in modulation doping, which should be probably applicable to other thermoelectrics. The direct microstructure observation and consistent theoretical model calculation emphasize the role of interface effects in modulation doping. Interface layers serve as carrier transport fast channels and phonon transport shields. The enhanced carrier mobility and suppressed thermal conductivity lead to ZTmax ≈0.23 at 873 K and ZTave ≈0.10 from 303 to 873 K in Bi6Cu2Se3.6Cl0.4O6 + 13% Bi2O2Se.