A new technique to measure the thermal conductivity of thermoelectric materials at the microscale has been developed. The structure allows the electrical conductivity, thermal conductivity, and Seebeck coefficient to be measured on a single device. The thermal conductivity is particularly difficult to measure since it requires precise estimation of the heat flux injected into the material. The new technique is based on a differential method where the parasitic contributions of the supporting beams of a Hall bar are removed. The thermal measurements with integrated platinum thermometers on the device are cross-checked using thermal atomic force microscopy and validated by finite-element analysis simulations.