Thermoelectric (TE) power generation technology is highly expected for various applications such as special power supply, green energy, energy harvesting from the environment and harvesting of industrial waste heat. Over the past years, the record of zT values of TE materials has been continuously updated, which would bode well for widespread practical applications of TE technology. However, the TE device as the core technology for the TE application lags behind the development of TE materials. Especially, the large-scale application of TE power generation technology is facing bottlenecks and new challenges. This review presents an overview of the recent progress on TE device design and integration with particular attentions on device optimization design, electrode fabrication, interface engineering, and service behavior. The future challenges and development strategies for large-scale application of thermoelectric power generation are also discussed.