Thermoelectric generation system (TEGS) can directly convert the waste heat to electricity in practice. The power generation is highly impacted by the temperature difference between the hot and cold ends. To significantly improve the temperature difference, various cooling technologies have been applied to TEGS. However, there is still room to further increase the power generation efficiency of TEGS by enhancing the cooling performance. Herein, spray cooling was introduced to the TEGS and influencing factors were investigated. The experimental study demonstrates that, upon the spray cooling, the cold-end temperature can be dramatically reduced up to 27 °C. Further, the output performance of the TEGS was substantially increased by optimizing spray heights, flow rates and heat source temperatures, etc. For example, for the spray height of 3 cm, the TEGS achieves a maximum output voltage because the thermoelectric generation module (TGM) is completely covered by the spray area in this study. Moreover, the temperature difference between cold/hot ends and voltage of the TEGS are further increased to 55 °C and 1.39 V at a flow rate of 100 L/min. On the other hand, increasing the heat source temperature (hot end temperature) can also strongly improve the output performance of the TEGS. Particularly, compared to passive air cooling, spray cooling can enable the TEGS to significantly increase its output voltage and current by 17 and 27 times, respectively. Finally, this study would potentially provide a new cooling strategy to strongly enhance the output performance of TEGS.