Thermoelectric materials offer an alternative opportunity to tackle the energy crisis and environmental problems by enabling the direct solid-state energy conversion. As a promising candidate with full potentials for the next generation thermoelectrics, tin selenide (SnSe) and its associated thermoelectric materials have been attracted extensive attentions due to their ultralow thermal conductivity and high electrical transport performance (power factor). To provide a thorough overview of recent advances in SnSe-based thermoelectric materials that have been revealed as promising thermoelectric materials since 2014, here, we first focus on the inherent relationship between the structural characteristics and the supreme thermoelectric performance of SnSe, including the thermodynamics, crystal structures, and electronic structures. The effects of phonon scattering, pressure or strain, and oxidation behavior on the thermoelectric performance of SnSe are discussed in detail. Besides, we summarize the current theoretical calculations to predict and understand the thermoelectric performance of SnSe, and provide a comprehensive summary on the current synthesis, characterization, and thermoelectric performance of both SnSe crystals and polycrystals, and their associated materials. In the end, we point out the controversies, challenges and strategies toward future enhancements of the SnSe thermoelectric materials.