Carbon Capture and Utilization (CCU) is a viable solution to valorise the CO2 captured from industrial plants’ flue gas, thus avoiding emitting it and synthesizing products with high added value. On the other hand, using CO2 as a reactant in chemical processes is a challenging task, and a rigorous analysis of the performance is needed to evaluate the real impact of CCU technologies in terms of efficiency and environmental footprint. In this paper, the energetic performance of a DME and methanol synthesis process fed by 25% of the CO2 captured from a natural gas combined cycle (NGCC) power plant and by the green hydrogen produced through an electrolyser was evaluated. The remaining 75% of the CO2 was compressed and stored underground. The process was assessed by means of an exergetic analysis and compared to post-combustion Carbon Capture and Storage (CCS), where 100% of the CO2 captured was stored underground. Through the exergy analysis, the quality degradation of energy was quantified, and the sources of irreversibility were detected. The carbon-emitting source was a 189 MW Brayton–Joule power plant, which was mainly responsible for exergy destruction. The CCU configuration showed a higher exergy efficiency than the CCS, but higher exergy destruction per non-emitted carbon dioxide. In the DME/methanol production plant, the main contribution to exergy destruction was given by the distillation column separating the reactor outlet stream and, in particular, the top-stage condenser was found to be the component with the highest irreversibility (45% of the total). Additionally, the methanol/DME synthesis reactor destroyed a significant amount of exergy (24%). Globally, DME/methanol synthesis from CO2 and green hydrogen is feasible from an exergetic point of view, with 2.276 MJ of energy gained per 1 MJ of exergy destroyed.