Thermoelectric generators (TEGs) have the ability to convert waste heat into electrical energy under unfavorable conditions and are becoming increasingly popular in academia, but have not yet achieved a broad commercial success, due to the still comparably low efficiency. To increase the efficiency and economic viability of TEGs, research is performed on the materials on one hand and on the system connection on the other. In the latter case, the net output power of the cooling system plays a key role. At first glance, passive cooling seems preferable to active cooling because it does not affect the net electrical output power. However, as shown in the present review, the active cooling is to be preferred for net output power. The situation is similar in air and water-cooling. Even though air-cooling is easier to set up, the water-cooling should be preferred to achieve higher net output power. It is shown that microchannel cooling has similar hydraulic performance to conventional cooling and inserts increase the net output power of TEG. As the review reveals that active water-cooling should be the method of choice to achieve high net output power, it also shows that a careful optimization is necessary to exploit the potential.