This review focusses on the development of thermoelectric composites made of oxide or conventional inorganic materials, and polymers, with specific emphasis on those containing oxides. Discussion of the current state-of-the-art thermoelectric materials, including the individual constituent materials, i.e., conventional materials, oxides and polymers, is firstly presented to provide the reader with a comparison of the top-performing thermoelectric materials. Then, individual materials used in the inorganic/polymer composites are discussed to provide a comparison of the performance of the composites themselves. Finally, the addition of carbon-based compounds is discussed as a route to improving the thermoelectric performance. For each topic discussed, key thermoelectric properties are tabulated and comparative figures are presented for a wide array of materials.