Thermoelectric materials which can convert energies directly between heat and electricity are used for solid state cooling and power generation. There is a big challenge to improve the efficiency of energy conversion which can be characterized by the figure of merit (ZT). In the past two decades, the introduction of nanostructures into bulk materials was believed to possibly enhance ZT. Nanocomposites is one kind of nanostructured material system which includes nanoconstituents in a matrix material or is a mixture of different nanoconstituents. Recently, nanocomposites have been theoretically proposed and experimentally synthesized to be high efficiency thermoelectric materials by reducing the lattice thermal conductivity due to phonon-interface scattering and enhancing the electronic performance due to manipulation of electron scattering and band structures. In this review, we summarize the latest progress in both theoretical and experimental works in the field of nanocomposite thermoelectric materials. In particular, we present various models of both phonon transport and electron transport in various nanocomposites established in the last few years. The phonon-interface scattering, low-energy electrical carrier filtering effect, and miniband formation, etc., in nanocomposites are discussed.