A series of side‐chain liquid crystalline polymers P4VP(CN‐DBE)x, where x is the molar ratio of cyanostilbene (CN‐DBE) to poly(4‐vinylpyridine) (P4VP) repeating unit, was synthesized based on the intermolecular hydrogen bonding between P4VP and CN‐DBE. Their luminescent property, liquid crystalline structure and photo‐thermo‐electric property were elucidated using photoluminescence spectra, X‐ray diffraction, thermal imaging and thermoelectric experiments. With the increase of x, the supramolecular system can be changed from lamellar structure to hexagonal columnar structure. Moreover, the P4VP(CN‐DBE)x polymer with columnar structure exhibits more efficient photothermal effect. The temperature of P4VP(CN‐DBE)0.6 can rise to 130 °C within 10 s under the irradiation of ultraviolet lamp. In addition, the supramolecular system possesses unique photo‐thermo‐electric conversion ability, and 25 mA current can be detected in the circuit coupled with the thermoelectric module. This work broadens the potential applications of hydrogen‐bonded polymer, and provides a simple and facile strategy to prepare liquid crystalline polymers with photo‐thermo‐electric property.