Despite its intrinsic non-equilibrium origin, thermoelectricity in nanoscale systems is usually described within a static scattering approach which disregards the dynamical interaction with the thermal baths that maintain energy flow. Using the theory of open quantum systems we show instead that unexpected properties, such as a resonant structure and large sign sensitivity, emerge if the non-equilibrium nature of this problem is considered. Our approach also allows us to define and study a local temperature, which shows hot spots and oscillations along the system according to the coupling of the latter to the electrodes. This demonstrates that Fourier's law -a paradigm of statistical mechanics -is generally violated in nanoscale junctions. PACS numbers: 72.15.Jf,73.63.Rt,65.80.+n Non-equilibrium (NE) processes at the nanoscale are receiving a great deal of attention due in large part to the advancements in fabrication and manipulation of these systems.[1] An especially interesting class of NE phenomena pertain to energy transport and the conversion of thermal to electrical energy. When a thermal gradient ∆T is applied to a finite system, electrons respond by departing from their ground state to partially accumulate at one end of the system, thus creating a measurable voltage difference ∆V . The ratio S = − ∆V ∆T is called thermopower [2], and has been measured in a variety of nano-scale systems such as quantum point contacts [3], atomic-size metallic wires [4], quantum dots [5], Si nanowires [6] and recently in molecular junctions [7]. In a bulk material, when S < 0 the transient current is carried by electrons; when S > 0 it is carried by holes.In nanoscale systems this NE problem has recently received a lot of attention [3,[8][9][10][11][12][13]. In these theories the single-particle scattering formalism [14] is used to relate the thermopower to single-particle transmission probabilities. This approach, however, does not take into account the dynamical formation of the thermopower and neglects the fact that even at steady state, when the charge current is zero an energy current is still present, like, e.g., in insulators [15]. Another effect neglected by such theories, which is now within reach of experimental verification [16], is the formation of local temperature variations along the structure. In order to study all these effects one needs to describe a nanoscale system interacting with an environment that maintains the thermal gradient, namely one needs to resort to a theory of NE open quantum systems.In this letter we introduce such a theory, based on a generalization of quantum master equations, and use it to study the dynamical formation of thermo-electric effects in nanojunctions. We show that the thermopower is a highly non-linear function of the thermal gradient and it is very sensitive to the junction geometry, even in the simplest case of non-interacting electrons. This precludes an easy interpretation of its sign in terms of electrons or holes as it has been argued in some literature [3,[8][9][...