High-efficiency thermoelectric oxide materials are promising for the conversion of waste heat directly into electricity, and nanostructure engineering is effective in enhancing thermoelectric figure of merit through phonon scattering at grain boundaries and interfaces. In this work, we report a sol-gel-based electrospinning technique to synthesize thermoelectric NaCo2O4 nanofibers with grain size as small as 10 nm, orders of magnitude smaller than that of NaCo2O4 powders processed by conventional sol-gel techniques. A series of scanning probe microscopy (SPM) studies are carried out to measure the electric conduction in a single NaCo2O4 nanofiber, and the thermoelectric effect of a single NaCo2O4 nanofiber is also characterized using a novel thermal probing technique that induces a large temperature gradient in the nanofiber. Sintering of nanocrystalline nanofibers into bulk NaCo2O4 ceramics for thermoelectric energy harvesting is also discussed.