The laminated thermoelectric cylindrical shell is favorable for solar thermal energy harvesting, but the thermo-electric-mechanical coupling field is relatively complex. An optimization design model of thermoelectric structure is required to promote its practical application. In this paper, based on variable separation method, thermo-electric-mechanical coupled model of laminated thermoelectric cylindrical device under thermal shock is constructed. Transient temperature field, thermal stress and power generation efficiency are obtained. Numerical results show that both power generation efficiency and thermal stress are affected by material parameters simultaneously. In order to analyze efficiency and structural reliability comprehensively, a fitness function is introduced in this paper. Based on the data which are collected from thermoelectric coupled model, a neural network is established and trained, which can predict and evaluate the performance of thermoelectric cylindrical shell based on the fitness function. The optimal material parameters for thermoelectric shells with high efficiency and low thermal stress are obtained. Combining neural network technique and the theoretical model developed in this paper, the computation time of numerical results can be reduced from 50 to 3 min, and this neural network optimization method has higher computational efficiency. These research results will provide guidance for the optimization design of cylindrical thermoelectric device.