Thermoelectric probes work by using a pair of different conductive materials, such as bismuth telluride or antimony, to form a thermocouple. When one end of the thermocouple is heated while the other end is kept cool, a voltage is generated proportional to the temperature difference. This voltage can be measured to determine the temperature gradient. Additionally, by applying a known voltage, the probe can induce a temperature difference, allowing researchers to study the Peltier Effect.