A series of new magnesium bismuth Zintl phases, A14MgBi11 (A = Ca, Sr, Eu), have been synthesized, and their thermoelectric properties were systematically evaluated. These novel phases belong to the well-known Yb14MnSb11 family, whose structure adopts the tetragonal space group I41/acd (No. 142) with cell parameters of a = 17.0470(17)/17.854(2)/17.6660(7) Å and c = 22.665(5)/23.580(6)/23.2446(18) Å for Ca14MgBi11, Sr14MgBi11, and Eu14MgBi11, respectively. Without intentional optimization, these materials exhibit high potential as new thermoelectric candidates. Especially for Sr14MgBi11, a high zT value of 0.72 has been approached at 1073 K. The discovery of these new Zintl series is very interesting, which implies the high possibility of extending the 14-1-11 thermoelectric system to the bismuth analogues in the development of highly efficient thermoelectric materials. Density functional theory (DFT) calculations were incorporated as well to help better understand the properties of these important compounds.