In this study, carbon nanotubes (CNTs) are packed to prepare CNT films with chemical-vapor-deposition method and vacuum filtration, then the films are piled up to make anisotropic three-dimensional CNT sponges (CNS). This sponge is demonstrated to be a promising thermoelectric material. Its cross-plane figure of merit (ZT(perpendicular to)) is much larger than that along the in-plane direction (ZT(parallel to)), and the maximum ZT(perpendicular to) is about 2.99 x 10(-3) at 290 K. This high ZT(perpendicular to) is attributed to small thermal conductivity of CNS in perpendicular to direction, because of small size of pores in CNS and the low k of CNTs along the radial direction.