Chemical vapor deposition has been most recently employed to fabricate centimeter-scale high-quality single-layer MoSi2N4 (Science; 2020;369; 670). Motivated by this exciting experimental advance, herein we conduct extensive first-principles based simulations to explore the stability, mechanical properties, lattice thermal conductivity, piezoelectric and flexoelectric response, and photocatalytic and electronic features of MA2Z4 (M = Cr, Mo, W; A = Si, Ge; Z = N, P) monolayers. The considered nanosheets are found to exhibit dynamical stability and remarkably high mechanical properties. Moreover, they show diverse electronic properties from antiferromagnetic metal to half metal and to semiconductors with band gaps ranging from 0.31 to 2.57 eV. Among the studied nanosheets, the MoSi2N4 and WSi2N4 monolayers yield appropriate band edge positions, high electron and hole mobilities, and strong visible light absorption, highly promising for applications in optoelectronics and photocatalytic water splitting. The MoSi2N4 and WSi2N4 monolayers are also predicted to show outstandingly high lattice thermal conductivity of 440 and 500 W/mK, respectively. For the first time we show that machine learning interatomic potentials trained over small supercells can be employed to examine the flexoelectric and piezoelectric properties of complex structures. As the most exciting finding, WSi2N4, CrSi2N4 and MoSi2N4 are found to exhibit the highest piezoelectric coefficients, outperforming all other-known 2D materials. Our results highlight that MA2Z4 nanosheets not only undoubtedly outperform the transition metal dichalcogenides family but also can compete with graphene for applications in nanoelectronics, optoelectronic, energy storage/conversion and thermal management systems.