Traditional air conditioners consume a significant portion of energy and negatively affect households’ budgets. In addition, the compressor is noisy, and the leaked refrigerant may harm the environment. On the other hand, thermoelectric materials (TEM) are materials that can transform heat into electricity and vice versa. Therefore, TEM can be used as a thermoelectric cooler (TEC), so they will be an excellent alternative to traditional air conditioners because they are static and do not contain refrigerant. In addition, TEM can be used as a thermoelectric generator (TEG), thermoelectric heater (TEH), and thermoelectric dehumidifier (TED). PCM can work as a thermal reservoir so that absorbed or released energy occurs almost at a constant temperature. Therefore, PCM can act as a heat sink for TEG because PCM’s temperature depends on the type of PCM. During the day, the TEG-PCM unit as a wall panel generates electricity because heat transfers from the exterior to PCM. During the night, PCM’s latent heat transfers from PCM to the exterior, where the exterior temperature is cooler than the temperature of PCM. Therefore, TEG generates electricity. Also, TEC can cool PCM for cooling purposes. The thickness and kind of PCM significantly influence the system’s and PCM’s performance. Photovoltaic panels (PV) generate electricity from light. Therefore, PV can be integrated with TEG and PCM to increase the system’s total efficiency and augment the benefit. The present paper reviews the recent studies that adopt TEM for wall panels.