The cross-plane thermoelectric properties of multi-walled carbon nanotubes-poly(vinylidene fluoride) (MWCNT-PVDF) nanocomposites were investigated at room temperature as a function of MWCNT content (from 5 to 50 wt%). Special attention was paid to the influence of the nature of the polymer crystal phase. Incorporation of MWCNT induces PVDF polar β-phase formation, coexisting with the major non polar α-phase. Significant improvement of the thermoelectric properties is evidenced, with the best values obtained at 50 wt% MWCNT loading. A post treatment at high temperature (T =165 °C) results in the development of the polar γ-phase from the α- and β-polymorphs. Nanocomposites annealing significantly enhances the Seebeck coefficient, typically from 14 up to 20 μV K−1, yielding a power factor of 4.6 × 10−2 μW m−1 K−2 and a figure of merit ZT of 1.6 × 10−5 at 50 wt%, which is the best ZT value that can be found in the literature, regarding MWCNT-PVDF bulk nanocomposites. Structural analysis underlines for the first time the impact of the polymer polar γ-phase on the nanocomposite thermoelectric properties.