The issue of transport in underground hard coal mines is very rarely described in the literature. The financial aspects of this issue are even less often analyzed. Publications in this area focus on technical issues and the safety of mining crews. More attention is paid to transport in open-pit mines. The above premises and practical needs imply the need to conduct economic analyses of transport systems in underground hard coal mines. This paper is a scientific communication, which presents the concept of a multi-criteria cost analysis as a tool to support the selection of the optimal transportation option in an underground hard coal mine. Considerations in this area have not been carried out in the relevant literature, and the problem of selecting a transportation option is a complex and necessary issue in the practice of underground mines with extensive mine workings. The methodology presented includes five cost criteria (costs of carrying out the transportation task; route expansion costs; rolling stock maintenance costs; depreciation costs; and additional personnel costs). The simultaneous application of criteria relating to utility properties in addition to cost criteria makes it possible to adopt a specific technical and organizational model of the transportation system based on the indication of the optimal solution, resulting from the mathematical construction of functions of objectives relating to utility and cost. The optimal variant of the designed system and configuration of the material transportation system in underground workings takes into consideration the following: (1) seven utility criteria (KU1—transportation task completion time; KU2—compatibility of transportation systems; KU3—continuous connectivity; KU4—co-use with other transportation tasks; KU5—safety; KU6—inconvenience; KU7—operation under overplanning conditions) and (2) five cost criteria (KK1—costs of implementing the transportation task; KK2—costs of route expansion; KK3—rolling stock maintenance costs; KK4—depreciation costs; KK5—additional personnel costs). Based on the aforementioned criteria, two objective functions are built for each option: utility and cost. They present divergent goals; therefore, they are non-cooperative functions. Both utility and costs strive for the maximum. In the developed methodology, an ideal point is usually a fictitious solution representing a set of maximum values among all the achievable values in a set of solutions, but it is impossible to achieve this simultaneously based on all the criteria. This point illustrates the maximum utility and lowest cost among the alternatives considered, which is obviously impossible for any of the variants to meet at the same time, although it indicates the possibilities of the technique and the range of costs. For the developed method, a so-called “PND” nadir point is also determined, representing the least-preferred level of achievement of all goals simultaneously, determined from the set of optimal points in the Pareto sense. The originality of the conceptual considerations undertaken stems from: filling the gap in the economic methodology of complex transportation systems evaluation; embedding considerations in the trend concerning complex transportation systems of underground mines; and focusing considerations on the pre-investment phase, making it possible to optimize costs before expenditures are incurred.