Thermoelectricity, green technology which can convert huge free thermal energy to electricity without time and geography limitations, is vital for bright future energy to alleviate global warming. In recent decades, numerous efforts have been made in the development of thermoelectric (TE) materials and their devices for various applications. Here, the latest progress of TE materials and devices is summarized. Multiple strategies for improving the performance of TE materials via regulating carriers and phonons are discussed. Besides the common heat source from industrial, natural, radioisotope, human and solar energy harvesting in various approaches, the attractive radiative cooling technology can provide a cold source for TE devices to generate electricity. Furthermore, TE devices are utilized to develop self-powered temperature/optical/chemical/biological sensors as well as temperature controllers and desalination. Especially, it is proposed that thermoelectric devices can be used to detect chemical endothermic reactions and the heat released by cell activity. In addition, it is expected that an uninterrupted power generation could be realized by integrating radiative cooling emitters and photothermal materials with thermoelectric devices. The future tendency is to further enhance material performance, optimize device design and develop adaptive circuit units while looking for exclusive broad application scenarios. There is plenty of room for thermoelectricity.