Thermoelectric effects are more sensitive and promising probes to topological properties of emergent materials, but much less addressed compared to other physical properties. We study the thermoelectric effects of ZrTe_{5} in a magnetic field. The presence of the nontrivial electrons leads to the anomalous Nernst effect and quasilinear field dependence of thermopower below the quantum limit. In the strong-field quantum limit, both the thermopower and Nernst signal exhibit exotic peaks. At higher magnetic fields, the Nernst signal has a sign reversal at a critical field where the thermopower approaches zero. We propose that these anomalous behaviors can be attributed to the gap closing of the zeroth Landau bands in topological materials with the band inversion. Our understanding to the anomalous thermoelectric properties in ZrTe_{5} opens a new avenue for exploring Dirac physics in topological materials.