The thermoelectric refrigeration system is an application of the Peltier effect, and good refrigeration performance is dependent on effective heat dissipation performance. To enhance the cooling performance of the thermoelectric system, this paper designs a new type of finned heat sink, which does not change the overall size of the thermoelectric system. The performance of the refrigeration system under the new fin is tested by experiments under various conditions. During the experiment, the cooling wind speed, the temperature of the hot and cold side of the TEC, the power consumption of the fan, and other parameters were directly recorded through the measuring instrument. The results show that the use of new finned heat sinks can improve the COP of the thermoelectric refrigeration system. Within the scope of the study, the thermal resistance of the new fins can be reduced by 42.6%, and the system COP value can be increased by 22.8%. In addition, increasing the cooling wind speed can further reduce the cold side temperature. Within the research range, the lowest temperature can reach −8.25 °C, but the power consumed by the fan is 166% of that of the conventional fin heat sink refrigeration device.