Thermoelectric power generators (TEGs) have been attracted increasing attention due to their capability of converting waste heat into useful electric energy without hazardous emissions. Many theoretical models to conduct their performance analysis are developed based on the generalized heat transport theory. However, most of them are assumed that the TEGs are thermally isolate from the surroundings except for the heat exchange at hot and cold reservoirs. This paper develops a theoretical model to study the performance of TEGs with cylindrical legs, and the influence of convective heat loss between lateral surfaces of legs and ambient environment is considered. Analytical solutions for temperature distribution inside the TEG, power output and energy conversion efficiency are obtained by using eigenfunction expansion method. A new dimensionless impact factor H is introduced to capture the convective heat effect, and the maximum energy conversion efficiency can be evaluated by the figure of merit, impact factor H and temperature ratio of heat sink to hot source for a well-designed TEG. There exists an optimal leg’s height for maximum energy conversion efficiency when the convective heat loss on lateral surfaces of thermoelectric legs and electrode thermal resistance are considered. The conclusions provided in this paper will be very helpful in the designing of high-performance TEG devices.