Thermoelectric materials, which directly convert thermal energy to electricity and vice versa, are considered a viable source of renewable energy. However, the enhancement of conversion efficiency in these materials is very challenging. Recently, multiphase thermoelectric materials have presented themselves as the most promising materials to achieve higher thermoelectric efficiencies than single-phase compounds. These materials provide higher degrees of freedom to design new compounds and adopt new approaches to enhance the electronic transport properties of thermoelectric materials. Here, we have summarised the current developments in multiphase thermoelectric materials, exploiting the beneficial effects of secondary phases, and reviewed the principal mechanisms explaining the enhanced conversion efficiency in these materials. This includes energy filtering, modulation doping, phonon scattering, and magnetic effects. This work assists researchers to design new high-performance thermoelectric materials by providing common concepts.