Thermoelectric power generation represents a class of energy conversion technology, which has been used in power supply of aeronautic and astronautic exploring missions, now showing notable advantages to harvest the widely distributed waste heat and convert the abundant solar energy into electricity at lower cost than Si-based photovoltaic technology. Thermoelectric dimensionless figure of merit (ZT) plays a key role in the conversion efficiency from thermal to electrical energy. Most state-of-the-art thermoelectric materials are characterized with various nanostructures from fine grains, dispersed particles, nano-inclusions to atomic defects, and therefore are referenced as nanocomposite. Recently, remarkable advances have been achieved in various material systems through the introduction of different nanostructures to tune the transport of phonons and electrons. In this review, we firstly clarify some fundamental tradeoffs dictating the ZT value through the relationship ZT=(S-2 sigma/kappa)T. We also pay special attentions to the recent advances in some selected materials, including half-Heuslers, PbTe, CoSb3, Bi2Te3, etc. Finally, we provide an outlook of new directions in this filed, especially a proposal on a new concept of ordered nanocomposite. (C) 2011 Elsevier Ltd. All rights reserved.