Many of the recent advances in enhancing the thermoelectric figure of merit are linked to nanoscale phenomena found both in bulk samples containing nanoscale constituents and in nanoscale samples themselves. Prior theoretical and experimental proof-of-principle studies on quantum-well superlattice and quantum-wire samples have now evolved into studies on bulk samples containing nanostructured constituents prepared by chemical or physical approaches. In this Review, nanostructural composites are shown to exhibit nanostructures and properties that show promise for thermoelectric applications, thus bringing together low-dimensional and bulk materials for thermoelectric applications. Particular emphasis is given in this Review to the ability to achieve 1) a simultaneous increase in the power factor and a decrease in the thermal conductivity in the same nanocomposite sample and for transport in the same direction and 2) lower values of the thermal conductivity in these nanocomposites as compared to alloy samples of the same chemical composition. The outlook for future research directions for nanocomposite thermoelectric materials is also discussed.