Thermoelectric materials, which can realize the direct conversion between heat and electricity by utilizing the carrier (electron and hole) mobility, have potential applications in thermo-electricity generation and portable refrigeration. Nowadays, the primary goal for thermoelectric research is to enhance the thermoelectric efficiency by the independent optimization of the electronic and thermal transport properties, which will amplify the practical application value of thermoelectric materials in electric power generation from waste heat. In this paper, we introduce the fundamental principles of thermoelectric effects, summarize the crucible issues in the development of thermoelectric materials, review the outstanding research achievements from structural design (atom, nano and micro-scale) and emphasize the significance of thermoelectric generation to the environmental pollution and energy crisis.