The ability to control chemical and physical structuring at the nanometre scale is important for developing high-performance thermoelectric materials. Progress in this area has been achieved mainly by enhancing phonon scattering and consequently decreasing the thermal conductivity of the lattice through the design of either interface structures at nanometre or mesoscopic length scales or multiscale hierarchical architectures. A nanostructuring approach that enables electron transport as well as phonon transport to be manipulated could potentially lead to further enhancements in thermoelectric performance. Here we show that by embedding nanoparticles of a soft magnetic material in a thermoelectric matrix we achieve dual control of phonon- and electron-transport properties. The properties of the nanoparticles-in particular, their superparamagnetic behaviour (in which the nanoparticles can be magnetized similarly to a paramagnet under an external magnetic field)-lead to three kinds of thermoelectromagnetic effect: charge transfer from the magnetic inclusions to the matrix; multiple scattering of electrons by superparamagnetic fluctuations; and enhanced phonon scattering as a result of both the magnetic fluctuations and the nanostructures themselves. We show that together these effects can effectively manipulate electron and phonon transport at nanometre and mesoscopic length scales and thereby improve the thermoelectric performance of the resulting nanocomposites.