Recently a significant figure-of-merit (ZT) improvement in the most studied existing thermoelectric materials has been achieved by creating nanograins and nanostructures in the grains using the combination of high-energy ball milling and a direct current-induced hot-press process. Thermoelectric transport measurements, coupled with microstructre studies and theoretical modeling, show that the ZT improvement is the result of low lattice thermal conductivity due to the increased phonon scattering by grain boundaries and structural defects. In this article, the synthesis process and the relationsip between the microstuctures and the thermoelectric properties of the nanostructured thermoelectric bulk materials with an enhanced ZT value are reviewed. It is expected that the nanostructured materials described here will be useful for a variety of applications such as waste heat recovery solar energy conversion, and environmentally friendly refrigeration.