In 2003, a joint research project entitled “Nano and graded thermoelectric materials/Photovoltaic-thermoelectric-wind power generation” is established in cooperation among research institutes from Japan and China. The major research institutes include State Key Laboratory of Advanced Technology for Materials Synthesis and Processing (Wuhan University of Technology, China), Shanghai Institute of Ceramics (Chinese Academy of Sciences, China), State Key Laboratory of New Ceramics and Fine Processing (Tsinghua University, China), Japan Aerospace Exploration Agency (JAXA, Japan) and Foundation for Promotion of Japanese Aerospace Technology (JAST, Japan). The main aim of this project is to develop a photovoltaic-thermoelectric-wind power generation system with high efficiency solar energy conversion. The key works of the project include: (1) fabrication of high efficiency nano thermoelectric materials with a maximum figure of merit Z≥1.3; (2) design and fabrication of nano graded thermoelectric material/component with efficiency conversion larger than 12% for wide temperature range and (3) design and construction of photovoltaic- thermoelectric coupled power generation system. The recent progress about the joint research project is reported in this paper. Emphasis is put on the mechanism, design and fabrication of high efficiency nano graded thermoelectric materials. The future research plan is also mentioned in brief.