Progresses in thermoelectric (TE) materials will contribute to solving the world’s demands for energy and global climate protection. It also calls for higher ZT to achieve ideal commercial conversion efficiency. As an effective way, nanostructuring can reduce the thermal conductivity by the selective scattering of phonons or enhance Seebeck coefficient via modification of the density of the states, resulting in good ZT value. Meanwhile, TE properties of nanostructured materials should depend on the size and morphology of the microstructure features. This review emphasizes the developments in the TE bulk materials at the nanoscale in the past several years and summarizes the understanding in this active field.