In this paper we investigate the effect of strong electronic interactions on the thermoelectric properties of a simple generic system, consisting of a single correlated layer sandwiched between two metallic leads. Results will be given for the linear response regime as well as beyond, for which a full nonequilibrium many-body calculation is performed, based on nonequilibrium dynamical mean-field theory (DMFT). As impurity solver we use the auxiliary master equation approach, which addresses the impurity problem within a finite auxiliary system consisting of a correlated impurity, a small number of uncorrelated bath sites and Markovian environments. For the linear response regime, results will be presented for the Seebeck coefficient, the electrical conductance and the electronic contribution to the thermal conductance. Beyond linear response, i.e. for finite differences in the temperatures and/or the bias voltages in the leads, we study the dependence of the current on various model parameters, such as gate voltage and Hubbard interaction of the central layer. We will give a detailed parameter study as far as the thermoelectric efficiency is concerned. We find that strong correlations can indeed increase the thermopower of the device. In addition, some general theoretical requirements for an efficient thermoelectric device will be given.