The making of composites has served as a working principle of achieving material properties beyond those of their homogeneous counterparts. The classical effective-medium theory models the constituent phases with local properties drawn from the corresponding bulk values, whose applicability becomes questionable when the characteristic size of individual domains in a composite shrinks to nanometer scale, and the interactions between domains induced by interfacial and size effects become important or even dominant. These unique features of nanocomposites have enabled engineering of extraordinary thermoelectric materials with synergistic effects among their constituents in recent years. For other applications requiring high thermal conductivity, however, interfacial and size effects on thermal transport in nanocomposites are not favorable, although certain practical applications often call for the composite approach. Therefore, understanding nanoscale transport in nanocomposites can help determine appropriate strategies for enhancing the thermal performance for different applications. We review the emerging principles of heat and charge transport in nanocomposites and provide working examples from both thermoelectrics and general thermal engineering.