We report on the thermoelectric detection of spin waves in Permalloy stripes via the anomalous Nernst effect. Spin waves are locally excited by a dynamic magnetic field generated from a microwave current flowing in a coplanar waveguide placed on top of a Permalloy stripe, which acts as a waveguide for spin waves. Electric contacts at the ends of the Permalloy stripe measure a dc voltage generated along the stripe. Magnetic field sweeps for different applied microwave frequencies reveal, with a remarkable signal-to-noise ratio, an electric voltage signature characteristic of spin-wave excitations. The symmetry of the signal with respect to the applied magnetic field direction indicates that the anomalous Nernst effect is responsible; Seebeck effects, anisotropic magnetoresistance, and voltages due to spin-motive forces are excluded. The dissipation of spin waves causes local heating that drains into the substrate, giving rise to a temperature gradient perpendicular to the sample plane, resulting in the anomalous Nernst voltage.