This chapter shows in the first place the influence of heat exchangers on the performance of both thermoelectric generation and thermoelectric refrigeration devices. Then, there are presented different types of heat exchangers specifically designed for dissipating high heat fluxes from the cold and the hot side of thermoelectric devices. After that, the chapter studies the improvement in the efficiency of thermoelectric devices achieved with these heat exchangers. Finally, the concept of thermoelectric self-refrigeration is introduced; this application uses thermoelectric technology for the refrigeration and temperature control of a device, without electricity consumption.