Thermal management and energy crisis have been two major problems in this 21st century. The thermoelectric concept is seen as a perfect solution for the both issues provided its figure of merit is large enough to compete with the traditional techniques. Since the use of semiconductor materials for thermoelectric applications, there has been a huge quest for improving its figure of merits (ZT) to cross 3 in order to make it commercially viable. This review starts with thermoelectric concepts and explains briefly the challenges in enhancing the figure of merits. It also reports the various approaches adopted in bulk materials, complex structures and the recent nanostructures to circumvent the interdependency of parameters in achieving higher ZT. It ends with discussion of the future trends of nanocomposite materials and its underlying challenges of fabrication.