Thermoelectric devices have garnered significant attention as an energy harvesting technology to alleviate the global energy crisis. However, its functionality has been greatly limited by the intrinsically brittle nature of the inorganic thermoelectric materials. While few organic materials have been proposed as an alternative of inorganic-based thermoelectric materials to mitigate the mechanical property issue, poor electrical properties of the organic materials hindered practical applications as a thermoelectric device. Here, we demonstrate highly flexible and shape-conformable thermoelectric yarn made from all-inorganic thermoelectric materials without any polymeric support or binder, exhibiting superior thermoelectric properties compared to those of flexible organic thermoelectric materials. We believe the current technique would enable a number of self-powered devices working with flexible thermoelectric generators.