The invention relates to power generation devices, in particular to a power generation device attached to an exterior wall of a building. The power generation device mainly comprises a wind gathering cover, a support, a wall-attached air tube, an air tube heat-absorbing surface, an impeller and a power generator. The power generation device is mainly powered by that firstly, sunlight radiation enables air in the wall-attached air tube to be heated, and air density becomes smaller to generate lift force; secondly, potential energy of rainfall drives the impeller to rotate to generate power; thirdly, wind at the top of a roof of the building is compressed when passing through the flared wind gathering cover, so that flow velocity is increased, negative pressure is generated and flow velocity of the wind in the wall-attached air tube is increased. The power generation device attached to the exterior wall of the building converts energy from natural air convection, air convection forced by sunshine heating and rainfall downflow potential energy so as to generate powder whether in windy days, rainy days or sunny days. The power generation device attached to the exterior wall of the building has the advantages of good power generation effect, cleanness and no pollution.