Thermoelectric materials are a kind of energy conversion materials, which are extensively used in power generation or refrigeration. The key parameter that measure the performance of thermoelectric materials is the figure of merit ZT value, which requires material excellent electrical transport performance and low thermal conductivity. Standard first principles calculations on thermoelectric materials focus on small samples of materials, which is difficult to conclude general rules and propose new candidates. The Materials Genome Initiative speeds up the discovery and design of materials based on big data and high-throughput computational methods, which is promising in novel material screening. In thermoelectrics, first principles high-throughput calculations play an increasingly important role in the predicting and designing new materials. However, there are some drawbacks in the current high-throughput efforts for thermoelectric material screening, such as the demand of efficient high-throughput algorithms for transport properties, suitable tools for analyzing big data, etc. Solving these challenges strongly determines the efficiency and accuracy of high-throughput applications in thermoelectrics. This review summarizes several high-throughput theoretical methods and cases study on electrical and thermal transport properties in thermoelectric materials, and prospects the future trend of the combination of high-throughput and thermoelectric material research.