A thermoelectric device is a solid-state device that can directly convert heat into electricity and vice versa. In this chapter, we present a comprehensive review on the recent advances in thermoelectric materials and devices with an emphasis on the new physical approaches for performance enhancement. Nanostructuring and alloying for thermal conductivity reduction and band engineering with resonant impurities and band convergence for power factor enhancement are discussed as a means to enhance the thermoelectric figure of merit or the conversion efficiency. Various bulk material synthesis methods that are used for the recently developed high figure of merit thermoelectric materials based on Bi₂Te₃, PbTe, Mg₂Si and oxide materials are also reviewed. Finally, we briefly discuss the operation principles of thermoelectric devices and the relevant issues in the fabrication of thermoelectric devices and their applications for waste heat recovery.