Thermoelectric (TE) materials, which enable direct energy conversion between waste heat and electricity, have witnessed enormous and exciting developments over last several decades due to innovative breakthroughs both in materials and the synergistic optimization of structures and properties. Among the promising state-of-the-art materials for next-generation thermoelectrics, tin selenide (SnSe) has attracted rapidly growing research interest for its high TE performance and the intrinsic layered structure that leads to strong anisotropy. Moreover, complex interactions between lattice, charge, and orbital degrees of freedom in SnSe make up a large phase space for the optimization of its TE properties via the simultaneous tuning of structural and chemical features. Various techniques, especially advanced electron microscopy (AEM), have been devoted to exploring these critical multidiscipline correlations between TE properties and microstructures. In this review, we first focus on the intrinsic layered structure as well as the extrinsic structural "imperfectness" of various dimensions in SnSe as studied by AEM. Based on these characterization results, we give a comprehensive discussion on the current understanding of the structure-property relationship. We then point out the challenges and opportunities as provided by modern AEM techniques toward a deeper knowledge of SnSe based on electronic structures and lattice dynamics at the nanometer or even atomic scale, for example, the measurements of local charge and electric field distribution, phonon vibrations, bandgap, valence state, temperature, and resultant TE effects.