Thermoelectric materials can convert heat directly into electricity and hence may play an important role in the future of energy conversion. In the last decade, the performance of thermoelectric materials has been enhanced substantially. Most of the progress is obtained through a control of the microstructure of a material. Especially, nanometer scale substructures present in the materials are thought to play a critical role for the significant reduction of lattice thermal conductivity and enhancement of figure of merit. A comprehensive understanding of the role of the micro- and nano- scale structural features on the electron and phonon transport would facilitate the design of more efficient materials. To achieve this, an accurate description of the detailed structures of these features, their formation mechanisms, and interactions with the matrix is necessary. Such a work is also helpful for establishing the correlation between the microstructures, materials synthesis and thermoelectric properties. Advanced analytical tools such as X-ray diffractometry (XRD), scanning electron microscopy (SEM), and transmission electron microscopy (TEM) etc enable probing the material structures at different length scales, and therefore help to give a comprehensive and detailed description of many interesting structural features of a material. In this work, microstructure investigation of two kinds of most promising thermoelectric materials has been conducted via these tools to uncover the underlying structural mysteries which lead to their superior thermoelectric properties. AgPb18SbTe20 ((PbTe)1−x(AgSbTe2)x with x ~ 0.05 or LAST-18) is the material from which the highest figure of merit has been obtained in all known bulk thermoelectric materials. For this material, high resolution TEM imaging and structure analysis have been intensively employed to uncover the structural details of the nanoprecipitates prevalent in the single crystal samples to the atomistic scale. The underlying mechanism for the nucleation of the nanoprecipitates and their interactions with the matrix lattice are also discussed through the coordinated image simulation and large scale density functional theoretical (DFT) calculations. CeFe4Sb12, a p-type filled skutterudite compound, has been prepared in our group through a novel non-equilibrium synthesis method combining melt spinning and spark plasma sintering (SPS). Remarkable improvements in both electrical and thermal transport properties have been achieved in them when compared to those of the same materials prepared by the conventional way. A comparative microstructure study of the CeFe4Sb12 bulk samples prepared by both the non-equilibrium and conventional methods has been carried out in order to understand the structural origins for the substantially improved thermoelectric properties in the non-equilibrium synthesized samples.