This work develops a heat transfer model of a thermoelectric generator to explore the coupled relationship between high temperature exhaust flows, structure, and the external cooling air. The coupled heat transfer results showed that the fins reached a uniform high temperature, for the rated speed, the average temperature is 474 K. The coupled design scheme of the thermoelectric generator tested by installing it in a 4-cylinder turbocharged Diesel engine exhaust system. Comparison of the test and simulation results showed that as engine speed increased, the inlet and outlet exhaust temperatures of the thermoelectric generator exhibited a parabolic trend increase. The cooling water outlet temperature and the top, middle, and bottom fin temperatures increased linearly, and the coupled model was verified. From idle speed to rated speed, the top, middle, and bottom fin temperatures increased from 458 K to 476 K, 417 K to 463 K, and 406 K to 449 K, respectively; the cooling water outlet temperature increased from 293.6 K to approximately 303 K. Hence, the thermoelectric components installed in fins can experience temperature differences of over 100 K, the heat transfer efficiency can increase which ensures consistent output performance of the thermoelectric generator based on coupled design between the heat exchanger and thermoelectric modules array column.