Nanostructured materials have emerged as an alternative to enhance the figure of merit (ZT) of thermoelectric (TE) devices. Graphene exhibits a high electrical conductivity (in-plane) that is necessary for a high ZT; however, this effect is countered by its impressive thermal conductivity. In this work TE layered devices composed of electrochemically exfoliated graphene (EEG) and a phonon blocking material such as poly (3,4-ethylenedioxythiophene) polystyrene sulfonate (PEDOT:PSS), polyaniline (PANI) and gold nanoparticles (AuNPs) at the interface were prepared. The figure of merit, ZT, of each device was measured in the cross-plane direction using the Transient Harman Method (THM) and complemented with AFM-based measurements. The results show remarkable high ZT values (0.81 < ZT < 2.45) that are directly related with the topography, surface potential, capacitance gradient and resistance of the devices at the nanoscale.