Over the years, the search for high performance thermoelectric materials has been dictated by the "phonon glass and electron crystal (PGEC)" paradigm, which suggests that low band gap semiconductors with high atomic number elements and high carrier mobility are the ideal materials to achieve high thermoelectric figure of merit. Complex oxides provide alternative mechanisms such as large density of states and strong electron correlation for high thermoelectric efficiency, albeit having low carrier mobility. Due to vast structural and chemical flexibility, they provide a fertile playground to design high efficiency thermoelectric materials. Further, developments in oxide thin film growth methods have enabled synthesis of high quality, atomically precise low dimensional structures such as heterostructures and superlattices. These materials and structures act as excellent model systems to explore nanoscale thermal and thermoelectric transport, which will not only expand the frontier of our knowledge, but also continue to enable cutting edge applications.