The invention provides an engine waste gas energy utilization device with a compact structure and high energy utilization rate and an automobile using the same. The device comprises a hollow shell with an air inlet and an air outlet, wherein a catalytic carrier of a three-way catalytic converter and a thermoelectric conversion element are arranged along the flowing direction of waste gas in the shell in turn; and a temperature difference generation device to be communicated with the cooling pipe of the automobile is arranged at the position close to the thermoelectric conversion element on the shell. A sub-exit pipe for communicating the shell interior and an EGR (exhaust gas recirculation) system is arranged beside the air outlet of the shell. A water jacket is arranged in the pipe wall of the sub-exit pipe. The water jacket is communicated with the temperature difference generation device and together with the cooling pipe of the automobile forms closed circulation. The engine waste gas energy utilization device has a simple and compact structure and can utilize the waste gas for generating power and reduce oil consumption.