This study presents a Bayesian neural network for the comprehensive performance forecast of an advanced thermoelectric system featuring segmented thermocouples with variable area shape for optimal solar energy conversion. The training data is obtained from a three-dimensional numerical model developed in ANSYS software to account for the energy, exergy, and entropy flows in the thermoelectric module to maximize the power output, energy, and exergy efficiencies while minimizing the entropy generation and system irreversibilities. The thermodynamic model optimizes key parameters, including geometry (height, cross-section, and percentage skutterudite content) across realistic diverse heat fluxes and cooling coefficients. To facilitate a faster and more efficient optimization pipeline, various neural networks, leveraging algorithms like Levenberg-Marquardt, scaled conjugate gradient, and Bayesian regularization, are utilized for efficient data management and accurate performance prediction. The Bayesian neural network emerges as the most accurate and efficient model providing the lowest training and testing loss of ∼10−9. Furthermore, key findings highlight the importance of skutterudite content and solar concentration ratio. For instance, an optimal skutterudite content of 6.2 % at 25 Suns produces maximum power of 29.7 W, while 37 % skutterudite at 75 Suns minimizes exergy destruction. This study's methodology and findings contribute to designing more efficient clean energy systems and advancing sustainable energy goals.