Recent years have witnessed significant progresses in realizing skyrmions in chiral magnets1-4 and asymmetric magnetic multilayers5-13, as well as their electrical manipulation2,7,8,10. Equally important, thermal generation, manipulation and detection of skyrmions can be exploited for prototypical new architecture with integrated computation14 and energy harvesting15. It has yet to verify if skyrmions can be purely generated by heating16,17, and if their resultant direction of motion driven by temperature gradients follows the diffusion or, oppositely, the magnonic spin torque17-21. Here, we address these important issues in microstructured devices made of multilayers: (Ta_CoFeB_MgO)15, (Pt_CoFeB_MgO_Ta)15 and (Pt_Co_Ta)15 integrated with on-chip heaters, by using a full-field soft X-ray microscopy. The thermal generation of densely packed skyrmions is attributed to the low energy barrier at the device edge, together with the thermally induced morphological transition from stripe domains to skyrmions. The unidirectional diffusion of skyrmions from the hot region towards the cold region is experimentally observed. It can be theoretically explained by the combined contribution from repulsive forces between skyrmions, and thermal spin-orbit torques in competing with magnonic spin torques17,18,20,21 and entropic forces22. These thermally generated skyrmions can be further electrically detected by measuring the accompanied anomalous Nernst voltages23. The on-chip thermoelectric generation, manipulation and detection of skyrmions could open another exciting avenue for enabling skyrmionics, and promote interdisciplinary studies among spin caloritronics15, magnonics24 and skyrmionics3,4,12.