Vehicle exhaust power generation systems (VEPGS), mainly consisting of a heat exchanger, cooling system, thermoelectric modules (TEMs), and clamping device, have attracted wide interest and attention for power generation from waste heat. In this work, systematical research was conducted to investigate the thermal performance, power output, and thermal stress of a VEPGS by using the multifield coupling method. Different from previous research, this work simulates a model that integrates the heat exchanger and TEMs, focusing on the effect of the TEMs on the thermal performance of the heat exchanger. It is found that the TEMs have a significant effect on the thermal performance of the heat exchanger. When not considering the effects of the TEMs, the hot-end temperature of the TEMs would be seriously underestimated, which would result in underestimation of the power output of the VEPGS and the level of thermal stress of the TEMs. Meanwhile, when considering the effect of the TEMs, the hot-end temperature distribution exhibits significant changes, and its temperature uniformity is significantly improved. The results suggest that, in VEPGS design and optimization, the interaction between the heat exchanger and TEMs should be considered. This study also contributes to a more accurate assessment method for VEPGS design and simulation.