New Mg-containing antimonide Zintl phases, Sr14MgSb11 and Eu14MgSb11, were synthesized from high-temperature solid-state reactions in Ta tubes at 1323 K. Their structures can be viewed as derived from the Ca14AlSb11, structure type, which adopt the tetragonal space group I4(1)/acd (No. 142, Z = 8) with the cell parameters of a = 17.5691(14)/17.3442(11) angstrom and c = 23.399(4)/22.981(3) angstrom for the Sr and Eu-containing compounds, respectively. The corresponding thermoelectric properties were probed, which demonstrated high potential of these compounds as new thermoelectrics for their very low thermal conductivity and moderate Seebeck coefficient. Magnetism studies and theoretical calculations were conducted as well to better understand the structure-and-property correlation of these materials.