The development of highly integrated electronic components and the Internet of Things demands efficient thermal management and uninterrupted energy harvesting, which provides exciting opportunities for thermoelectric (TE) technology since it allows direct conversion between electricity and thermal energy. The improved output performance of TE devices has traditionally been driven by advancements in inorganic materials. Recently, there has been growing interest in studying substrate-free inorganic-based TE thin films because they provide improved adherence to curved surfaces and offer a more compact size compared to the corresponding rigid form of these materials. This review begins by summarizing various methods for fabricating freestanding inorganic-based TE films, including leveraging the intrinsic plasticity of certain materials, exfoliating layered-structure materials, using sacrificial substrates, and creating composites with flexible components such as polymers and carbon-based materials. A key challenge in achieving high device performance is determining how to maintain the favorable TE properties of inorganic materials. This can be addressed through strategies such as high inorganic content loading, multicomponent engineering, and interfacial structure design. The review also discusses the applications of substrate-free inorganic-based TE devices in both power generation and solid-state cooling. Finally, it outlines current challenges and proposes potential research directions to further advance the field.