Thermoelectric materials have aroused widespread concern due to their unique ability to directly convert heat to electricity without any moving parts or noxious emissions. Taking advantages of two-dimensional structures of thermoelectric films, the potential applications of thermoelectric materials are diversified, particularly in microdevices. Well-controlled nanostructures in thermoelectric films are effective to optimize the electrical and thermal transport, which can significantly improve the performance of thermoelectric materials. In this paper, various physical and chemical approaches to fabricate thermoelectric films, including inorganic, organic, and inorganic-organic composites, are summarized, where more attentions are paid on the inorganic thermoelectric films for their excellent thermoelectric responses. Additionally, strategies for enhancing the performance of thermoelectric films are also discussed.