Sensors are core components for modern intelligent industry. Thermoelectric materials, which have significant influence on the design and functions for a variety types of sensors, attracted more and more attentions recently. In this paper, different categories of thermoelectric materials, such as silicon, carbon, lead, tellurium, precious metal, organic and catalysis based thermoelectric materials, are discussed in detail on their high sensitivity, fast response, and stability as potential candidates for specific sensors. The silicon-based thermoelectric materials are of particular efficiency in sensor data process and transmission due to their high purity. Carbon-based thermoelectric materials, including graphene and carbon nanotubes, advantage in their excellent conductivity, flexible structure, and manufactural controllability. Lead-based thermoelectric materials are mainly used as infrared sensors because of their natural sensitivity to infrared specially. Telluride-based thermoelectric materials, especially Bismuth Telluride and Antimony Telluride, can form PN junction and be applied as soft sensors. Products based on these materials have already been developed for detecting pulses. The precious metals-based thermoelectric materials, e.g. gold or silver, are commonly used as dopant in the organic thermoelectric materials to adjust their sensitivity. Organic thermoelectric materials benefit from their good stability and variability, while copper-bismuth alloy based thermoelectric materials are widely investigated to make gas sensors. In general, the inorganic thermoelectric materials normally feature high electrical conductivity, which enhances the sensitivity of sensors, whereas the organic thermoelectric materials have high stability to maintain the stability of sensors. At present, the miniaturization of sensors is the mainstream for both material study and device fabrication. Low dimensional thermoelectric materials, especially nano-scaled materials such as quantum dots, nanowires, etc., will for sure promote the progressing of sensor development. For example, carbon nanotube can be knit into specific sheets as we designed with tunable conductivity, which makes them of remarkable industrial potentials as soft sensors. Designing and fabricating multi-functional and space-saving thermoelectric materials with well aligned and effectively assembled nanomaterials would be a feasible and practicable approach for future sensors.