The thermoelectric properties of two-dimensional graphyne sheets are investigated by using first-principles calculations and the Boltzmann transport equation method. The electronic structure indicates a semiconducting phase for graphyne, compared with the metallic phase of graphene. Consequently, the obtained Seebeck coefficient and the power factor of graphyne are much higher than those of graphene. The calculated phonon mean free path for graphene is 866 nm, which is in good agreement with the experimental value of 775 nm. Meanwhile the phonon mean free path of graphyne is only 60 nm, leading to two order lower thermal conductivity than graphene. We show that the low thermal conductivity of graphyne is due to its mixed sp/sp(2) bonding. Our calculations show that the optimized ZT values of graphyne sheets can reach 5.3 at intermediate temperature by appropriate doping.