The long-standing popularity of thermoelectric materials has contributed to the creation of various thermoelectric devices and stimulated the development of strategies to improve their thermoelectric performance. In this review, we aim to comprehensively summarize the state-of-the-art strategies for the realization of high-performance thermoelectric materials and devices by establishing the links between synthesis, structural characteristics, properties, underlying chemistry and physics, including structural design (point defects, dislocations, interfaces, inclusions, and pores), multidimensional design (quantum dots/wires, nanoparticles, nanowires, nano-or microbelts, few-layered nanosheets, nano-or microplates, thin films, single crystals, and polycrystalline bulks), and advanced device design (thermoelectric modules, miniature generators and coolers, and flexible thermoelectric generators). The outline of each strategy starts with a concise presentation of their fundamentals and carefully selected examples. In the end, we point out the controversies, challenges, and outlooks toward the future development of thermoelectric materials and devices. Overall, this review will serve to help materials scientists, chemists, and physicists, particularly students and young researchers, in selecting suitable strategies for the improvement of thermoelectrics and potentially other relevant energy conversion technologies.