Thermoelectric thin films are of great interest to microelectronic devices and miniaturized temperature sensors. In this article, we have studied the influence of film thickness on the electrical and thermoelectric properties of Mg-doped CuCrO2 delafossite material (CuCrO2:Mg), a delafossite-type oxide. For this purpose, a serie of CuCr0.97Mg0.03O2 thin films with various thicknesses (25, 50, 100, 200, 300, 400 and 600 nm) have been deposited by Radio Frequency (RF) magnetron sputtering. The as-deposited films were annealed at 550 degrees C under vacuum to obtain well crystallized delafossite phase. Grazing incidence X-ray diffraction patterns indicated that samples had pure delafossite structure. The atomic force microscope observations revealed the increase of the grain size with increasing thickness. The electrical and thermoelectric properties are characterized in temperature ranging from 40 to 220 degrees C and they were thickness dependent. The thickness dependency of the Seebeck coefficient was not expected and indicated that the carrier density changes with thickness below 100 nm. The variation of the film resistivity below 100 nm thickness was explained by both the change of the carrier density and the potential barrier addition due to small grain size. Using the electrical conductivity, the polaron activation energy (E-sigma p = 0.131 eV for 100 nm thick sample) was determined and its variation indicated that the stress/strain effect in the film with increasing thickness impacts the mobility. Moreover, the unexpected increase of the resistivity between 400 and 600 nm was also explained by the micro-cracks formation. The electrical and thermoelectric measurements showed a degenerated hopping semi-conductor behavior for the whole thicknesses. The highest electrical conductivity (1.7 S.cm(-1) at 40 degrees C) was obtained for 100 nm thick film which presented a Seebeck coefficient of +307 mu V-K-1 at 40 degrees C. We report maximum power factor of 16 mu W.m(-1).K-2 at 40 degrees C for the optimum thickness of 100 nm, which reached 59 mu W.m(-1).K-2 at 200 degrees C. The above results were explained in terms of microstructure and stress/strain effect.