The reliability and failure mechanisms of silicide-based thermoelectric modules (n-type Mg2(Si,Sn)/p-type HMS) were investigated thanks to two types of thermal tests with either a fixed or a cycling thermal gradient, under different atmospheres. The hot interfaces of the thermoelectric modules were analyzed by scanning electron microscopy and X-ray diffraction after the reliability tests. The current thermoelectric modules do not exhibit any failure mechanism under ambient air for a hot side temperature of 250 °C for tests conducted either during 500 h at a fixed temperature gradient or after 1000 thermal cycles. However, when the temperature was increased to 350 °C, pesting phenomena were detected at the hot side of the n-type Mg2(Si,Sn) legs caused by the decomposition/oxidation of the material. These phenomena are strongly slowed down for thermoelectric modules tested under a primary vacuum, highlighting the predominant role of oxygen in the degradation mechanism. Interdiffusion phenomena are the most pronounced at the interface of the hot side of the n-type thermoelectric materials. The formation of a MgO layer, which is an electrical and thermal insulator, has decreased the thermoelectric modules’ performances. For thermal cycling tests, cracks are observed on the hot side of the n-type legs. The presence of these cracks drastically increases the thermal and electrical resistances, leading to an overheating of the system and limiting its efficiency and failure by breaking electrical continuity. The interfaces at the hot side temperature of the p-type HMS legs remained intact whatever the test conditions were, indicating a high chemical stability and a good mechanical strength.