Initiatives to minimise battery use, address sustainability, and reduce regular maintenance have driven the challenge to use alternative power sources to supply energy to devices deployed in Internet of Things (IoT) networks. As a key pillar of fifth generation (5G) and beyond 5G networks,IoT is estimated to reach 42 billion devices by the year 2025. Thermoelectric generators (TEGs) are solid state energy harvesters which reliably and renewably convert thermal energy into electrical energy. These devices are able to recover lost thermal energy, produce energy in extreme environments, generate electric power in remote areas, and power micro‐sensors. Applying the state of the art, the authorspresent a comprehensive review of machine learning (ML) approaches applied in combination with TEG‐powered IoT devices to manage and predict available energy. The application areas of TEG‐driven IoT devices that exploit as a heat source the temperature differences found in the environment, biological structures, machines, and other technologies are summarised. Based on detailed research of the state of the art in TEG‐powered devices, the authors investigated the research challenges, applied algorithms and application areas of this technology. The aims of the research were to devise new energy prediction and energy management systems based on ML methods, create supervised algorithms which better estimate incoming energy, and develop unsupervised and semi‐supervised approaches which provide adaptive and dynamic operation. The review results indicate that TEGs are a suitable energy harvesting technology for low‐power applications through their scalability, usability in ubiquitous temperature difference scenarios, and long operating lifetime. However, TEGs also have low energy efficiency (around 10%) and require a relatively constant heat source.