Vertical hetero-structures made from stacked monolayers of transition metal dichalcogenides (TMDC) are promising candidates for next-generation optoelectronic and thermoelectric devices. Identification of optimal layered materials for these applications requires the calculation of several physical properties, including electronic band structure and thermal transport coefficients. However, exhaustive screening of the material structure space using ab initio calculations is currently outside the bounds of existing computational resources. Furthermore, the functional form of how the physical properties relate to the structure is unknown, making gradient-based optimization unsuitable. Here, we present a model based on the Bayesian optimization technique to optimize layered TMDC hetero-structures, performing a minimal number of structure calculations. We use the electronic band gap and thermoelectric figure of merit as representative physical properties for optimization. The electronic band structure calculations were performed within the Materials Project framework, while thermoelectric properties were computed with BoltzTraP. With high probability, the Bayesian optimization process is able to discover the optimal hetero-structure after evaluation of only ∼20% of all possible 3-layered structures. In addition, we have used a Gaussian regression model to predict not only the band gap but also the valence band maximum and conduction band minimum energies as a function of the momentum.