Electrochemical-based energy storage/energy conversion devices still face the challenge of poor performance, and it is urgent to develop a new strategy to address it. Recently, the strategy of using the thermoelectric effect for performance enhancement has provided new insights into electrochemical research. The Seebeck voltage provided by the thermoelectric effect can not only offset the potential barrier of the water decomposition reaction, but also increase the battery output voltage. Meanwhile, the migration of electrons and ions in the thermoelectric effect induces a change in the electronic state and enhances the intrinsic activity of the electrode. Based on this, this review reports on the recent progress of the thermoelectric effect in electrochemical devices such as batteries and supercapacitors, and analyses in detail the differentiation and intrinsic connection of the influencing mechanisms. In addition, the review provides an outlook on the current challenges facing the field and the prospects of the thermoelectric effect in electrochemistry. This review aims to attract more cross-disciplinary attention to broaden the wide range of applications of the thermoelectric effect within electrochemistry and other energy fields.