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We report results of investigations of thermoelectric properties of dozen of the lanthanides at ambient temperature under strong compression up to 15-20 GPa. We present data of pressure evolution of Seebeck coefficient in cerium (Ce), praseodymium (Pr), neodymium (Nd), samarium (Sm), gadolinium (Gd), terbium (Tb), dysprosium (Dy), holmium (Ho), erbium (Er), and ytterbium (Yb) and review literature data for lanthanum (La). Peculiarities detected at pressure dependencies of thermoelectric power were addressed to the known structural transitions. Therefore, thermopower values of all high-pressure phases below 20 GPa were established. Seebeck effect in different lanthanides subjected to compression demonstrated similar behavior: monotonic rising from near-zero values, ±(1-2) μV/K to magnitudes of ∼+(8-10) μV/K beyond about 5 GPa. This tendency was noticed in those rare-earth elements that follow a commonly accepted sequence of structural transformations for this group, and hence the s→d electron transfer is considered as a possible reason for this similar behavior of thermoelectric properties. Distinctive behavior of Seebeck effect in cerium and ytterbium may be related to peculiar structural phase diagrams of these elements. Possible implications from the findings of this thermoelectric study are discussed.