Thermoelectric materials with high figures of merit, ZT values, are disclosed. In many instances, such materials include nano-sized domains (e.g., nanocrystalline), which are hypothesized to help increase the ZT value of the material (e.g., by increasing phonon scattering due to interfaces at grain boundaries or grain/inclusion boundaries). The ZT value of such materials can be greater than about 1, 1.2, 1.4, 1.5, 1.8, 2 and even higher. Such materials can be manufactured from a thermoelectric starting material by generating nanoparticles therefrom, or mechanically alloyed nanoparticles from elements which can be subsequently consolidated (e.g., via direct current induced hot press) into a new bulk material. Non-limiting examples of starting materials include bismuth, lead, and/or silicon-based materials, which can be alloyed, elemental, and/or doped. Various compositions and methods relating to aspects of nanostructured thermoelectric materials (e.g., modulation doping) are further disclosed.