Short-range magnetic correlations can significantly increase the thermopower of magnetic semiconductors, representing a noteworthy development in the decades-long effort to develop high-performance thermoelectric materials. Here, we reveal the nature of the thermopower-enhancing magnetic correlations in the antiferromagnetic semiconductor MnTe. Using magnetic pair distribution function analysis of neutron-scattering data, we obtain a detailed, real-space view of robust, nanometer-scale, antiferromagnetic correlations that persist into the paramagnetic phase above the Néel temperature TN = 307 K. The magnetic correlation length in the paramagnetic state is significantly longer along the crystallographic c axis than within the ab plane, pointing to anisotropic magnetic interactions. Ab initio calculations of the spin-spin correlations using density functional theory in the disordered local moment approach reproduce this result with quantitative accuracy. These findings constitute the first real-space picture of short-range spin correlations in a magnetically enhanced thermoelectric and inform future efforts to optimize thermoelectric performance by magnetic means.