There's only two sources of power on other planets/outer space, and that is nuclear and solar.
Wind and water and biomass and geothermal and fossil fuels are out of the question, because of lack of said things or lack of oxygen to burn anything.
That being said, "nuclear" only works if it's steady-state and does not use water/air input. That excludes steam engines and such, and basically only leaves RTGs (Radioisotope Thermoelectric Generator).
These are solid-state devices (meaning they have no moving parts) and convert the heat directly into electricity using TEGs (Thermoelectric Generator). They don't need water or air input.
RTGs have an overall fuel efficiency of around 3-5%, meaning they translate around 3-5% of the radioactive decay heat of the nuclear material into electric power output.
why not wind on bodies with atmosphere?
wind is really weak on mars. this has to do with mars' really thin atmosphere of around 6 mbar (0.006 times the thickness on Earth). If wind moves on mars with the same velocity that a hurricane moves on earth, it's barely strong enough to lift a sheet of paper! (source: i read that a while ago).
the reason why mars can have dust storms is only because the dust particles are extremely small and light-weight. but certainly the winds are never strong enough to actually move a heavy rotary blade of a wind turbine.
The biggest plot hole* in The Martian. Though Andy Weir acknowledges this and it made for a dramatic scene.
*other plot hole: Mars regolith is extremely toxic and using it to grow potatoes (the poop was added to it) would kill the eater.