A thermoelectric generator is used as a waste heat recovery system for generating electric power. The thermoelectric generator system consists of an exhaust heat exchanger, a thermoelectric module, and a water heat exchanger. The aim of the current work is to explore different types of inserts used in the test section of the exhaust heat exchanger and power generation of thermoelectric generators at different operating conditions. An experimental setup has been developed for conducting experimental investigation on thermoelectric generators to find the effect of the exhaust heat exchanger (EHE) with inserts on the performance of thermoelectric generators. The cone (G-type test section) and cone-cylinder (H-type test section) type inserts were introduced to enhance the performance of the thermoelectric generator. Compared with an insert-free (empty, F-type) thermoelectric generator with cone and cone-cylinder type inserts in terms of the output power, the average heat transfer rate and convection heat transfer coefficient of F-type, G-type, and H-type test sections of the EHE are 358, 468, and 459 W and 76, 100, and 97 W/m2K, respectively. It shows that the G-type test section of EHE exchanges more heat from engine exhaust to the hot surface of the thermoelectric module through the wall of the EHE. The G-type test section created more temperature difference; obviously, it generated more power output. It was observed that the G-type and H-type test sections of exhaust heat exchangers improved average maximum output power by 29.49% and 26.11% than that by the F-type test section of heat exchanger, respectively. The F-type, G-type, and H-type test sections of exhaust heat exchangers showed a maximum average efficiency of 0.80, 0.78, and 0.70%, respectively.