Photovoltaic cells only can convert a small part of the inlet sunlight into electricity, and the rest part of the sunlight is transformed into heat. The accumulated heat may significantly degrade the photovoltaic cell performance if not removed in time. In this work, a coupling system model composed of a dye-sensitized solar cell (DSSC), a solar selective absorber (SSA) and a flexible annular thermoelectric generator (ATEG) is put forward to broadbandly harvest the inlet sunlight, in which the ATEG simultaneously considers the Thomson effect, Peltier effect and Seebeck effect. Including various irreversible losses in the coupling system, performance indicators for DSSC, ATEG and coupling system are analytically formulated, from which the energy and exergy performance are revealed. The maximum power density, maximum energy and exergy efficiencies of the coupling system can be, respectively, 86.01 W m−2, 29.56% and 31.77%, which are, respectively, 10.52%, 39.24% and 10.54% higher than that of the single DSSC. Numerical calculation results indicate that the Schottky barrier height, thickness of the TiO2 mesoporous oxide, number of ATEGs, annular shape parameter of ATEG, thickness and width of ATEG can be optimized to maximize the power density, energy and exergy efficiencies. Besides, it reveals that the Thomson effect worsens the coupling system performance. The results obtained are helpful to design and run such a real DSSC-ATEG coupling system.