With both the properties of bulk thermoelectric material and advantages of flexible fiber structure, thermoelectric fibers are widely applied in energy conversion, thermoelectric cooling, temperature sensing, thermal management, and thermal imaging, and have become a research hotspot in the field of flexible thermoelectric technology. In this review, the concept and characteristics of inorganic micro-nano thermoelectric fibers are firstly introduced. Secondly the chemical and physical fabrication methods for these fibers are outlined. Then, the important properties and applications of micro-nano thermoelectric fibers are compared. Finally, the current research status of micro-nano thermoelectric fibers is summarized and the future development direction is prospected.