Thermoelectric (TE) materials can be used in the conversion of heat to electricity and vice versa, which can enhance the efficiency of the fuel, in addition to supplying solid alternative energy in several applications in accumulating waste heat and, as a result, help to find new energy sources. Considering the current environment as well as the energy crisis, the TE modules are a need of the future. The present review focuses on the new strategies and approaches to achieve high-performance TE materials including materials improvement, structures, and geometry improvement and their applications. Controlling the carrier concentration and the band structures of materials is an effective way to optimize the electrical transport properties, while engineered nanostructures and engineering defects can immensely decrease the thermal conductivity and significantly improved the power factor. The present review gives a better understanding of how the theory is affecting the TE field.