This work is devoted to the development of epoxy-encapsulated zinc oxide-multiwalled carbon nanotubes (ZnO–MWCNT) hybrid nanostructured composites and the investigation of their thermoelectric performance in relation to the content of MWCNTs in the composite. For the preparation of nanocomposites, self-assembling Zn nanostructured networks were coated with a layer of dispersed MWCNTs and subjected to thermal oxidation. The resulting ZnO–MWCNT hybrid nanostructured networks were encapsulated in commercially available epoxy adhesive. It was found that encapsulation of ZnO–MWCNT hybrid networks in epoxy adhesive resulted in a simultaneous decrease in their electrical resistance by a factor of 20–60 and an increase in the Seebeck coefficient by a factor of 3–15, depending on the MWCNT content. As a result, the thermoelectric power factor of the epoxy-encapsulated ZnO–MWCNTs hybrid networks exceeded that of non-encapsulated networks by more than 3–4 orders of magnitude. This effect was attributed to the ZnO–epoxy interface’s unique properties and to the MWCNTs’ contribution. The processes underlying such a significant improvement of the properties of ZnO–MWCNT hybrid nanostructured networks after encapsulation in epoxy adhesive are discussed. In addition, a two-leg thermoelectric generator composed of epoxy-encapsulated ZnO–MWCNT hybrid nanocomposite as n-type leg and polydimethylsiloxane-encapsulated CuO–MWCNT hybrid nanocomposite as p-type leg characterized at room temperatures showed better performance at temperature difference 30 °C compared with the similar devices, thus proving the potential of the developed nanocomposites for applications in domestic waste heat conversion devices.