Harvesting sustainable energy from environmental energy through thermoelectric generators to uninterruptedly generate clean electricity offers a potential solution to the energy crisis and environmental challenges. Solar thermoelectric generators, emerging radiative cooling energy utilization, the huge power generation potential of geothermal and ocean energy have aroused great interest, especially the radiative cooling thermoelectric generators considering bi-directional energy flow are the current emerging research hotspots. This review comprehensively analyzes the optimization strategies for utilizing thermoelectric generators to harvesting environmental energy (solar, radiant cooling, ocean, geothermal) from multiple perspectives such as light management, thermal management, heat transfer, energy storage, thermoelectric module structure, and material engineering. The advantages and problems of the system are analyzed, and directions for future research and optimization are given. This review provides an insight that thermoelectric generators harvesting environmental energy have a great potential and that optimization strategies from multiple perspectives can significantly improve output performance and enable scale up applications.