In this paper, we develop a framework to construct energy-preserving methods for multi-components Hamiltonian systems, combining the exponential integrator and the partitioned averaged vector field method. This leads to numerical schemes with both advantages of long-time stability and excellent behavior for highly oscillatory or stiff problems. Compared to the existing energy-preserving exponential integrators (EP-EI) in practical implementation, our proposed methods are much efficient which can at least be computed by subsystem instead of handling a nonlinear coupling system at a time. Moreover, for most cases, such as the Klein-Gordon-Schrödinger equations and the Klein-Gordon-Zakharov equations considered in this paper, the computational cost can be further reduced. Specifically, one part of the derived schemes is totally explicit, and the other is linearly implicit. In addition, we present rigorous proof of conserving the original energy of Hamiltonian systems, in which an alternative technique is utilized so that no additional assumptions are required, in contrast to the proof strategies used for the existing EP-EI. Numerical experiments are provided to demonstrate the significant advantages in accuracy, computational efficiency, and the ability to capture highly oscillatory solutions.