Electricity plays a significant role in daily life and is the main component of countless applications. Thus, ongoing research is necessary to improve the existing approaches, or find new approaches, to enhancing power generation. The thermoelectric generator (TEG) is among the notable and widespread technologies used to produce electricity, and converts waste energy into electrical energy using the Seebeck effect. Due to the Seebeck effect, temperature change can be turned into electrical energy; hence, a TEG can be applied whenever there is a temperature difference. The present paper presents the theoretical background of the TEG, in addition to a comprehensive review of the TEG and its implementation in various fields. This paper also sheds light on the new technologies of the TEG and their related challenges. Notably, it was found that the TEG is efficient in hybrid heat recovery systems, such as the phase change material (PCM), heat pipe (HP), and proton exchange membrane (PEM), and the efficiency of the TEG has increased due to a set of improvements in the TEG’s materials. Moreover, results show that the TEG technology has been frequently applied in recent years, and all of the investigated papers agree that the TEG is a promising technology in power generation and heat recovery systems.