Last two decades have witnessed significant progress in thermoelectric research, to which materials processing has crucial contributions. Compared with traditional zone-melting method used for fabricating bismuth telluride alloys, new powder-based processes have more freedom for manipulating nanostructnres and nanocomposites. Thermoelectric performance enhancement is realized in most thermoelectric materials by introducing fine-grained and nano-composite structures with accurately controlled compositions. This review gives a comprehensive summary on the processing aspects of thermoelectric materials with three focuses on the powder synthesis, advanced sintering process and the formation of nanostructures in bulk materials.