As a low maintenance solid state device, the thermo-electric generator (TEG) provides an opportunity to recover energy from the exhaust gas directly. In this paper, dynamic behaviour of a TEG applied to the EGR path of a non-road diesel engine has been analysed. Through the component in the loop (CIL) method, the proposed TEG was simulated by a virtual model in real time. A Nonlinear Auto-regressive exogenous (NLARX) model was operated in an xPC as the virtual model. Based on calculated results of the model, the position of EGR valve and the coolant valve were adjusted to simulate the effect of TEG installation on the gas flow in EGR path. Analysis of the TEG performance under Non-road Transient Cycle (NRTC) was conducted base on above method. With above analysis, following conclusions can be drawn. First, the component in the loop simulation method demonstrates a better performance to predict the TEG dynamic behaviour comparing to the software based methods. Using component in the loop methodology, transient performance of the TEG device can be predicted with a satisfied error range. Besides of the TEG performance prediction, the effect of the installation of the TEG was also analysed. The temperature variation and the pressure drop which affected by TEG system were predicted, and a more accurate TEG performance prediction can be achieved accordingly.