You need the numbers off of the package and get the datasheet for the component, without them it is hard to tell what it was, from looking at the picture the circuit board has a transformer and filter capacitor, besides the relay and small support components like resistors, I cannot see diode or a rectifier bridge, but then I cannot see everything from the picture, the wires coming in and out of this circuit board lead me to believe it is a power supply for the other board, and the relay may be what is switching voltage to the output Heater or load, this leads me to think the component circled is a voltage regulator for the more complicated circuit board.
edit mispelling
This could be a transistor, voltage regulator, SCR, or Triac, or several other things, this package is used for many devices the numbers on it tells what it is and what the specifications are.
Look for numbers like LM7805, Lm7812 LM7005, Etcetera; these are some numbers for voltage regulators.
Look with a good magnifying glass get the numbers.
Post the numbers of the package here.
Another option is try and find the schematic for the model of unit you have, even schematics of other models made by this company can give you clues if you cannot find the right one.
Give us model numbers and names of company who made this and what the device is called.