Half-Heusler (HH) compounds, with a valence electron count of 8 or 18, have gained popularity as promising high-temperature thermoelectric (TE) materials due to their excellent electrical properties, robust mechanical capabilities, and good high-temperature thermal stability. With the help of first-principles calculations, great progress has been made in half-Heusler thermoelectric materials. In this review, we summarize some representative theoretical work on band structures and transport properties of HH compounds. We introduce how basic band-structure calculations are used to investigate the atomic disorder in n-type MNiSb (M = Ti, Zr, Hf) compounds and guide the band engineering to enhance TE performance in p-type FeRSb (R = V, Nb) based systems. The calculations on electrical transport properties, especially the scattering time, and lattice thermal conductivities are also demonstrated. The outlook for future research directions of first-principles calculations on HH TE materials is also discussed.