Abstract: Thermoelectric materials, which can realize the interconversion between heat and electricity, have attracted continual research interest in the past decades due to the growing demand for alternative energy supplies. With the continuous developments in thermoelectric materials research, the preparation techniques have also made significant progress. High pressure technique, which plays an important role not only in novel materials syntheses but also in microstructure and performance regulations, provides an important way to develop high-performance materials. This review mainly discusses the application of high pressure technique in the synthesis and performance optimization of thermoelectric materials, such as skutterudites, Bi₂Te₃, PbTe, Mg₂Si. The unique advantages of high pressure technique in thermoelectric materials research are demonstrated from selected representative materials. High pressure technique provides a powerful tool for exploring an effective way to increase power factor.