Thermoelectric materials, which can convert waste heat into electricity, have received increasing research interest in recent years. This paper describes the recent progress in thermoelectric nanocomposites based on solution-synthesized nanoheterostructures. We start our discussion with the strategies of improving the power factor of a given material by using nanoheterostructures. Then we discuss the methods of decreasing thermal conductivity. Finally, we highlight a way of decoupling power factor and thermal conductivity, namely, incorporating phase-transition materials into a nanowire heterostructure. We have explored the lead telluride-copper telluride thermoelectric nanowire heterostructure in this work. Future possible ways to improve the figure of merit are discussed at the end of this paper.