The thermoelectric performance of materials exhibits complex nonlinear dependencies on both elemental types and their proportions, rendering traditional trial-and-error approaches inefficient and time-consuming for material discovery. In this work, we present a deep learning model capable of accurately predicting thermoelectric properties of doped materials directly from their chemical formulas, achieving state-of-the-art performance. To enhance interpretability, we further incorporate sensitivity analysis techniques to elucidate how physical descriptors affect the thermoelectric figure of merit (zT). Moreover, we establish a coupled framework that integrates a surrogate model with a multi-objective genetic algorithm to efficiently explore the vast compositional space for high-performance candidates. Experimental validation confirms the discovery of a novel thermoelectric material with superior $zT$ values in the medium-temperature regime.