This paper reports on direct thermal to electrical energy conversion by performing the Olsen cycle on 9.5/65/35 lead lanthanum zirconate titanate (PLZT). The Olsen cycle consists of two isothermal and two isoelectric field processes in the electric displacement versus electric field diagram. It was performed by alternatively dipping the material in hot and cold dielectric fluid baths under specified electric fields. The effects of applied electric field, sample thickness, electrode material, operating temperature, and cycle frequency on the energy and power densities were investigated. A maximum energy density of 637 ± 20 J/L/cycle was achieved at 0.054 Hz with a 250-μm-thick sample featuring Pt electrodes and coated with a silicone conformal coating. The operating temperatures varied between 3°C and 140°C and the electric field was cycled between 0.2 and 6.0 MV/m. A maximum power density of 55 ± 8 W/L was obtained at 0.125 Hz under the same operating temperatures and electric fields. The dielectric strength of the material, and therefore the energy and power densities generated, increased when the sample thickness decreased from 500 to 250 μm. Furthermore, the electrode material was found to have no significant effect on the energy and power densities for samples subject to the same operating temperatures and electric fields. However, samples with electrode material possessing thermal expansion coefficients similar to that of PLZT were capable of withstanding larger temperature swings. Finally, a fatigue test showed that the power generation gradually degraded when the sample was subject to repeated thermoelectrical loading.