Photothermal devices and thermoelectric cells hold great promise for energy generation but integration of the two remains a considerable challenge in real-life power supply for sensors. Here, a novel photo-thermo-electric hydrogel (PTEH-Interlocking) was constructed by synthesis of a photothermal layer on a thermoelectric hydrogel with the redox pair Fe(CN)63−/Fe(CN)64−. The smart design of using oxidation of pyrogallic acid by Fe(CN)63− to construct the photothermal layer for photo-to-heat conversion protected the redox couple of the thermogalvanic ion pair from ultraviolet damage, as well as triggered the formation of an interlocking structure at the interface of the photothermal layer and the thermoelectric hydrogel. The as-prepared PTEH-Interlocking have shown a high Seebeck coefficient and rapid heat transfer, boosting the photo-thermo-electric conversion. As a demonstration of a practical application, the PTEH-Interlocking cells is successfully used as the energy supply for a mechanical sensor.