The development of new—cheaper, more efficient, more sustainable, and more reliable—functional materials with useful properties calls for ever-improving, smart, and innovative synthesis strategies. A multitude of inorganic compounds are already used as energy materials, i.e., electrodes, catalysts, permanent magnets, and many more are considered highly promising for these and similar applications. Innovative synthesis techniques are developed, resulting in new compounds as well as known ones with unique structures and morphologies. Here, we will discuss the nonconventional solid-state methods, microwave heating and spark plasma sintering, highlighting their potential for the preparation of a plethora of inorganic compounds. Thermoelectric and magnetic materials are chosen as two examples of energy materials that are relevant for several different areas, such as waste heat recovery, energy generation, and refrigeration. The goal is to provide an overview of the inorganic compounds, ranging from intermetallics to chalcogenides and oxides, which have been prepared using these two nonconventional synthesis techniques. Furthermore, the reaction conditions as well as key properties regarding their thermoelectric and magnetic behavior are summarized.