Half-Heusler compounds such as MNiSn for n-type and MCoSb for p-type, M = Ti, Zr, Hf, show relatively high thermoelectric figure of merit (ZT = ~0.8 for MNiSn and ~0.5 for MCoSb) at 700-1000 K, thereby they are known as promising high-performance thermoelectric materials applicable for power generation devices in exhaust heat recovery systems of automobiles. Recently, the ZT values have been improved by applying various methods such as nanostructuring and band engineering, and ZT > 1 have been achieved in some half-Heusler compounds. In addition, a new p-type half-Heusler compound FeNbSb has been developed. In this review, we summarize the history of half-Heusler compounds as thermoelectric materials and review the representative results for their improved thermoelectric properties.