The electrical conductance, thermal conductance, thermal power, and figure of merit (ZT) of semiconductor quantum dots (QDs) embedded into an insulator matrix connected with metallic electrodes are theoretically investigated in the Coulomb blockade regime. The multilevel Anderson model is used to simulate the multiple QDs junction system. The charge and heat currents in the sequential tunneling process are calculated by the Keldysh Green's function technique. In the linear-response regime the ZT values are still very impressive in the small tunneling rates case, although the effect of electron Coulomb interaction on ZT is significant. In the nonlinear-response regime, we have demonstrated that the thermal rectification behavior can be observed for the coupled QDs system, where the very strong asymmetrical coupling between the dots and electrodes, large energy-level separation between dots and strong interdot Coulomb interactions are required.