Using first-principles calculations combined with non-equilibrium Green's function (NEGF), we investigate spin-dependent thermoelectric effects in a spin valve which consists of zigzag graphene nanoribbon (ZGNR) electrodes with different magnetic configurations. We find that electron transport properties in the ZGNR-based spin valve are strongly dependent on the magnetic configurations. As a result, with a temperature bias, thermally-induced currents can be controlled by switching the magnetic configurations, indicating a thermal magnetoresistance (MR) effect. Moreover, based on the linear response assumption, our study shows that the remarkably different Seebeck coefficients in the various magnetic configurations lead to a very large and controllable magneto Seebeck ratio. In addition, we evaluate thermoelectric properties, such as the power factor, electron thermal conductance and figure of merit (ZT), of the ZGNR-based spin valve. Our results indicate that the power factor and the electron thermal conductance are strongly related to the transmission gap and electron–hole symmetry of the transmission spectrum. Moreover, the value of ZT can reach 0.15 at room temperature without considering phonon scattering. In addition, we investigate the thermally-controlled magnetic distributions in the ZGNR-based spin valve and find that the magnetic distribution, especially the local magnetic moment around the Ni atom, is strongly related to the thermal bias. The very large, multi-valued and controllable thermal magnetoresistance and Seebeck effects indicate the strong potential of ZGNR-based spin valves for extremely low-power consuming spin caloritronics applications. The thermally-controlled magnetic moment in the ZGNR-based spin valve indicates its possible applications for information storage.