The efficient conversion between thermal and electrical energy by means of durable, silent and scalable solid-state thermoelectric devices has been a long standing goal. While nanocrystalline materials have already led to substantially higher thermoelectric efficiencies, further improvements are expected to arise from precise chemical engineering of nanoscale building blocks and interfaces. Here we present a simple and versatile bottom-up strategy based on the assembly of colloidal nanocrystals to produce consolidated yet nanostructured thermoelectric materials. In the case study on the PbS-Ag system, Ag nanodomains not only contribute to block phonon propagation, but also provide electrons to the PbS host semiconductor and reduce the PbS intergrain energy barriers for charge transport. Thus, PbS-Ag nanocomposites exhibit reduced thermal conductivities and higher charge carrier concentrations and mobilities than PbS nanomaterial. Such improvements of the material transport properties provide thermoelectric figures of merit up to 1.7 at 850 K.