With the tendency of thermoelectric semiconductor devices towards miniaturization, integration, and flexibility, there is an urgent need to develop high-performance thermoelectric materials. Compared with the continuously enhanced thermoelectric properties of thermoelectric materials, the understanding of toughening mechanisms lags behind. Recent advances in thermoelectric materials with novel crystal structures show intrinsic ductility. In addition, some promising toughening strategies provide new opportunities for further improving the mechanical strength and ductility of thermoelectric materials. The synergistic mechanisms between microstructure-mechanical performances are expected to show a large set of potential applications in flexible thermoelectric devices. This review explores enlightening research into recent intrinsically ductile thermoelectric materials and promising toughening strategies of thermoelectric materials to elucidate their applications in the field of flexible thermoelectric devices.