Thermoelectric materials, a kind of new energy material, can directly convert heat energy into electric energy, and vice versa, without needing any other energy conversion. However, the present development status of thermoelectric materials severely restricts their engineering applications in thermoelectric devices. Improving the thermoelectric performances of existing thermoelectric materials and exploring new thermoelectric materials with excellent performance are eternal research topics in thermoelectricity field. In recent years, the MAX phases and their derived MXene phases have gradually received the attention of researchers due to their unique microstructures and properties. The crystal structure of MAX phases is comprised of M_n+1X_n structural units and the single atomic plane of A stacked alternately. The two-dimensional MXene phase derived can be prepared after the atoms in the A-layer of MAX have been etched. The MAX phases and their derived MXene phases have both metal feature and ceramic feature, and also have good thermal conductivity and electric conductivity, and they are anticipated to be the promising thermoelectric materials. In this paper, the present development status of the preparation technology and the thermoelectric properties of MAX phases and MXene are reviewed. Finally, some feasible schemes to improve the thermoelectric properties of MAX and its derived MXene phase materials are proposed, and the development direction and prospect of MAX phases and MXene are prospected as well.