High-throughput experiments aimed to promptly obtain the relationship among composition-phase-structure-performance with fewer experiments and screen out optimal material systems with optimized compositions. Up to now, high-throughput experiments are successfully applied in superconducting materials, fluorescent materials and giant magnetoresistance materials. Thermoelectric materials are functional materials that can realize the direct conversion between thermal energy and electrical energy and can be potentially applied in the fields of thermoelectric power generation and waste heat utilization. However, traditional preparation and characterization methods for thermoelectric materials have disadvantages of time consuming and low efficiency. Therefore, it is of great theoretical and practical significance to introduce methods and concepts of high-throughput experiments into development and optimization of new thermoelectric materials. In this paper, we summarize and discuss the existing high-throughput experimental preparation and characterization techniques with great application prospects in thermoelectric materials, including high-throughput sample preparation, composition-structure, and electro-thermal transport properties characterization, and then analyze the advantages and limitations of these high-throughput techniques. We hope to provide a reference for future high-throughput optimization and screening of thermoelectric materials.