In this paper, an original homemade system is presented in detail for the electrical and thermoelectrical characterizations of several types of materials from bulk to thin films. This setup was built using a modulated CO2 laser beam to probe the thermoelectric properties at different depths below the surface. It allows a simultaneous measurement of the electrical conductivity (σ) and the Seebeck coefficient (S), from room temperature up to 250 °C. A commercial sample of Bi2Te3 was first used to validate the Seebeck coefficient measurement. Single crystalline silicon (sc-Si) was used for the uncertainty quantification during the simultaneous measurement of the Seebeck coefficient and the electrical conductivity. At the micrometer scale, thermoelectric characterization of the mesoporous Si (50 μm thickness) was achieved and results gave very promising values (S ≈ 700 μV K-1) for micro-thermo-generator fabrication. In the case of thin film materials, metals (copper and constantan) and oxide thin films (titanium oxide) were also characterized in the in-plane configuration in order to determine the metrology limits of our thermoelectric setup. In this case, a typical sensitivity of about 2μV K-1 was achieved.