A large amount of energy can accumulate and be stored during underground coal fires. As thermal energy cannot be easily removed using the traditional technologies of fire prevention and extinguishment, there is a potential benefit to collecting and utilizing thermal energy from coal fires and converting it to electrical energy. Thus, this work proposes a thermoelectric generator as a solution to convert thermal energy from coal fires to electrical energy. To improve the thermal energy conversion efficiency, an experimental test system was established using a thermosyphon, an electric heating module, a cooling circulation module, a thermoelectric module, and a data acquisition module. Under the condition of ensuring the same input heat and cooling boundary conditions, the influence of three factors, namely the cooling method, the connection method, and the coverage rate of thermoelectric devices, on the performance of the coal fire waste heat conversion system was studied. The results show that, compared with air cooling, water cooling provides a greater temperature difference for the thermoelectric module, and the maximum temperature difference can reach 65.90 °C. Series connection between thermoelectric devices will generate a higher open-circuit voltage and output voltage. The maximum horizontal open-circuit voltage value can reach 3.34 V, and the maximum output voltage is 2.61 V. Compared with the coverage rates of thermoelectric devices of 15.0% and 30.0%, the output power under the coverage rate of 22.5% is the largest at 0.35 W, and its thermoelectric conversion efficiency is also the largest at 0.35%. The optimal combination of thermoelectric modules obtained from the research results can provide ideas for the application of in situ coal fire prevention and control.