In this work, we investigate the thermal and electrical properties of oxygen-functionalized M2CO2 (M = Ti, Zr, Hf) MXenes using first-principles calculations. Hf2CO2 is found to exhibit a thermal conductivity better than MoS2 and phosphorene. The room temperature thermal conductivity along the armchair direction is determined to be 86.25-131.2 Wm-1K-1 with a flake length of 5-100 um, and the corresponding value in the zigzag direction is approximately 42% of that in the armchair direction. Other important thermal properties of M2CO2 are also considered, including their specific heat and thermal expansion coefficients. The theoretical room temperature thermal expansion coefficient of Hf2CO2 is 6.094x10-6 K-1, which is lower than that of most metals. Moreover, Hf2CO2 is determined to be a semiconductor with a band gap of 1.657 eV and to have high and anisotropic carrier mobility. At room temperature, the Hf2CO2 hole mobility in the armchair direction (in the zigzag direction) is determined to be as high as 13.5x103 cm2V-1s-1 (17.6x103 cm2V-1s-1), which is comparable to that of phosphorene. Broader utilization of Hf2CO2 as a material for nanoelectronics is likely because of its moderate band gap, satisfactory thermal conductivity, low thermal expansion coefficient, and excellent carrier mobility. The corresponding thermal and electrical properties of Ti2CO2 and Zr2CO2 are also provided here for comparison. Notably, Ti2CO2 presents relatively low thermal conductivity and much higher carrier mobility than Hf2CO2, which is an indication that Ti2CO2 may be used as an efficient thermoelectric material.