SnSe has attracted extensive attention due to its ultralow thermal conductivity and excellent thermoelectric properties. In this work, pressure-induced thermoelectric properties of Pnma SnSe are investigated via first-principles calculations. We uncover distinct energy isosurfaces topology transition of conduction band by applying pressure. The newly created conduction band valley caused by pressure has a distinct anisotropic shape compared to the old one. Inducing pressure can greatly enhance the anisotropy of electronic transport properties of the n-type Pnma SnSe. Furthermore, the lattice thermal conductivity also exhibits anisotropic behavior under pressure due to a special collaged phonon mode. The pressure-induced lattice thermal conductivity along the a-axis shows a slower growth trend than that along the b-axis and c-axis. The optimal ZT value of the n-type Pnma SnSe along the a-axis can reach 1.64 at room temperature. These results would be helpful for designing the Pnma SnSe-based materials for the potential thermoelectric and valleytronic applications.