In this paper, we present the results of a detailed computational study of the structural, electronic, optical, magnetic and thermoelectric properties of the CsNiO$_2$ and CsCuO$_2$ Heusler alloys, by using the full potential-linearised augmented plane wave (FP-LAPW) method. The calculated structural parameters of the title compounds are in excellent agreement with the available theoretical data. The equilibrium ground-state properties were calculated and it was showed that the studied compounds are energetically stable in the AlCu$_2$Mn phase within the ferromagnetic state. In order to evaluate the stability of our compounds, the cohesion energies and formation energies have been evaluated. The optoelectronic and magnetic properties revealed that these compounds exhibit half-metallic ferromagnetic behaviour with large semiconductor and half-metallic gaps. This behaviour is confirmed by the integer values of total magnetic moments, but these compounds do not satisfy the Slater–Pauling rule. Furthermore, the thermoelectric parameters are computed in a large temperature range of 300–800 K to explore the potential of these compounds for high-performance technological applications.