Cold sintering is a newly developed low-temperature sintering technique that has attracted extensive attention in the fabrication of functional materials and devices. Low sintering temperatures allow for a substantial reduction in energy consumption, and simple experimental equipment offers the possibility of large-scale fabrication. The cold sintering process (CSP) has been demonstrated to be a green and cost-effective route to fabricate thermoelectric (TE) materials where significant grain growth, secondary phase formation, and element volatilization, which are prone to occur during high-temperature sintering, can be well controlled. In this review, the historical development, understanding, and application of thermoelectric materials produced via cold sintering are highlighted. The latest attempts related to the cold sintering process for thermoelectric materials and devices are discussed and evaluated. Despite some current technical challenges, cold sintering provides a promising and sustainable route for the design of advanced high-performance thermoelectrics.