In the pursuit of sustainable solutions to the ever-increasing demand for renewable energy, mechanically compliant thermoelectric generators (TEGs) have garnered significant attention owing to the promise they present for application in generating power from waste heat in mechanically challenging scenarios. This review paper examines the ongoing advancements in the efficiency and applicability of TEGs through novel material engineering and design innovations. It delves into the improvement of their thermoelectric (TE) properties via micro- and nanostructural modifications and explores architectural advancements aimed at enhancing functionality and power output. Notably, the integration of TEGs into flexible, stretchable, and wearable electronics has been a significant development, expanding their applications in various domains such as healthcare monitoring, remote sensing, and consumer electronics. The review emphasizes the critical interplay between electronic, thermal, and mechanical aspects in optimizing TEGs performance. By providing an in-depth exploration of these multifaceted interactions and highlighting the significant advancements in materials and design, this review aims to underscore the importance of TEGs in a cleaner and more efficient era of energy generation, with a particular focus on their emerging applications across diverse fields.