Direct conversion of heat into electricity through advanced thermoelectric (TE) materials has been one of the most attractive solutions to the severe environmental and energy issues facing humanity. In recent years, great progress has been made in improving their dimensionless figure of merit (ZT), which determines the conversion efficiency of TE devices. ZT is related to three “interlocked” factors—the Seebeck coefficient, electrical conductivity, and thermal conductivity. These three factors are interdependent in bulk TE materials, and altering one changes the other two. The difficulty in simultaneously optimizing them caused TE research to stagnate, until great reductions in thermal conductivity were both theoretically and experimentally proven in nanomaterials in 1993. In this review, we first introduce some TE fundamentals and then review the most recently improvements in ZT in different kinds of inorganic and organic TE materials, which is followed by an investigation of the outlook for new directions in TE technology.