Thermo-electrochemical cells have potential to generate thermoelectric voltage 1 order higher than that given by semiconductor materials. To overcome the current issues in thermoelectric energy conversion, it is of paramount importance to grow and fulfill the full potential of thermo-electrochemical cells. Here we report a rational supramolecular methodology that yielded the highest Seebeck coefficient of ca. 2.0 mV K–1 around ambient temperatures. This is based on the encapsulation of triiodide ions in α-cyclodextrin, whose equilibrium is shifted to the complexation at lower temperatures, whereas it is inverted at elevated temperatures. This temperature-dependent host–guest interaction provides a concentration gradient of redox ion pairs between two electrodes, leading to the eminent performance of the thermo-electrochemical cells. The figure of merit for this system, zT reached a high value of 5 × 10–3. The introduction of host–guest chemistry to thermoelectric cells thus provides a new perspective in thermoelectric energy conversion.