Thermoelectric materials have gained wide attention to realize multilevel efficient energy management to alleviate the increasingly severe energy crisis. Oxide ceramics were well-explored as potential thermoelectric candidates because of their outstanding merits, including abundance, eco-friendliness, high-temperature stability, and chemical stability. In this work, we aim to provide a comprehensive summary of the diversified state-of-the-art oxide ceramics and establish the links between composition designing, preparation process, structural characteristics, and properties to summarize the underlying chemistry and physics mechanism of band engineering, doping, composited with the second phase, defects engineering, and entropy engineering. Furthermore, advanced device design and applications such as thermoelectric modules, miniature generators, sensors, and coolers were reviewed. Ultimately, the challenges and future perspective of oxides ceramics for the device design and thermoelectric applications in the development of energy harvesting technology have been prospected.