Understanding energy transport, conversion and dissipation processes at the fundamental atomic and molecular level is of great interest for creating efficient renewable energy materials and new quantum devices. In this talk, I will describe our recent efforts in developing highly sensitive experimental tools to systematically address long-standing questions regarding heat transport, thermoelectric energy conversion, and radiative heat transfer at the extreme length scales. Specifically, by leveraging custom developed scanning thermal probe microscopy, we have observed the room temperature quantization of electronic heat conduction in single-atom junctions. Furthermore, we studied thermal transport in single molecules and quantify heat conductance due to the phonon transmission at the atomic scale. Finally, I will describe a novel thermoelectric characterization platform that enables the combined measurement of Peltier cooling, electronic, and thermal properties in molecular junctions.