The current status of the development of composite thermoelectric materials with embedded nanoparticles is reviewed. An introduction is given to the suggested mechanisms of improving thermoelectric properties by inclusions of nanoparticles and to experimental methods used to prepare such composites. The progress made in the development of thermoelectric materials with embedded nanoparticles is then covered, grouping the studies according to the optimal temperature range of operation of the materials investigated. Most studies have been devoted to materials within the medium temperature range, followed by low temperature materials, whereas high temperature materials have not yet received much attention within this area. In the majority of the materials systems studied, reports of improved thermoelectric performance upon introduction of nanoparticles in bulk thermoelectrics are found. However, for continued progress in this area, there is a need for systematic experimental studies that unambiguously correlate the resulting physical effects of the nanoinclusions to the measured materials properties.