The invention discloses a nanostructured thermoelectric material, a nanostructured thermoelectric device and a production method thereof. The thermoelectric material comprises an insulating substrate and a nanostructured thermoelectric membrane, wherein the nanostructured thermoelectric membrane is composed of at least two nano-thickness thermoelectric material layers and at least two phonon scattering layers, and the thermoelectric material layers and the phonon scattering layers are overlapped alternately. The thermoelectric material can be a p-type thermoelectric material or an n-type thermoelectric material, which depends on the type of charge carrier of the thermoelectric material layers. Connecting electrodes are plated between the thermoelectric membranes of a p-type nanostructured thermoelectric material and a n-type nanostructured thermoelectric material so as to form a thermoelectric pair; and then a plurality of thermoelectric pairs are connected in parallel or in series so as to form the thermoelectric device. The nanostructured thermoelectric material of the invention has the advantages of good thermal stability, high nanostructured membrane deposition efficiency, high thermoelectric conversion efficiency, and lower cost; and the nanostructured thermoelectric device has the advantages of simple structure, easy preparation, low internal resistance, and great practical value in the fields such as refrigeration / calorification or temperature differential power generation, and the like.