Solid oxide electrolysis cell (SOEC) is an advanced green energy storage technology for achieving high‐efficiency hydrogen production. However, SOEC generates redundant waste heat in exothermic mode. To improve system exergy efficiency and ensure stable and reliable operation of the SOEC, a novel hybrid system is proposed to mainly comprise an SOEC and a Stirling heat engine (SHE). Mathematical formulas for the exergy efficiency of the SOEC‐SHE hybrid system are obtained and applied for this system, and it is found that the exergy efficiency is 69.90%, which is 13.77% higher than that of a single SOEC system when the operating current density is 30 000 A m−2. A mixed orthogonal experiment method is further implemented to analyze the comprehensive effects of various parameters on the exergy efficiency of the SOEC‐SHE hybrid system. Operated on the optimal combination of the investigated parameters, the exergy efficiency of the SOEC‐SHE hybrid system reaches 82.35%, which is further improved by 17.81%. The results provide valuable theoretical insights for the design and operation of the SOEC‐SHE hybrid system.