High-performance flexible thermoelectric materials face a persistent challenge in decoupling the interdependent thermoelectric parameters. Here, we present a composite thermoelectric fiber that addresses this limitation by combining poly(3,4-ethylenedioxythiophene):poly(styrenesulfonate) (PEDOT:PSS) with eutectic gallium-indium (EGaIn) nanoparticles. Through a solution-processable fabrication approach incorporating surface-initiated polymerization, we achieved uniform dispersion of EGaIn nanoparticles within the PEDOT:PSS matrix. The optimized composite fiber has an electrical conductivity of 1839.4 S cm-1 and a Seebeck coefficient of 118.7 μV K-1, representing 5-fold and 13-fold improvements over pristine PEDOT:PSS fiber, respectively. Energy filtering effects at PEDOT:PSS/EGaIn interfaces enable selective charge carrier transport while maintaining a low thermal conductivity through interfacial phonon scattering. The resulting power factor reaches 22.9 μW cm-1 K-2 with a dimensionless figure of merit (zT) of 1.21 at room temperature. The fibers exhibit a maximum strain of 30.9% and stable performance under mechanical, washing, and thermal cycling. We showcase their practical utility in self-powered wearable sensors for temperature, touch, and physiological monitoring. This work presents a strategic approach for organic/inorganic composite thermoelectric materials centered on the energy filtering effect.