This paper quantifies the exergy losses of coal-based series polygeneration systems and evaluates the potential efficiency improvements that can be realized by applying advanced technologies for gasification, methanol synthesis, and combined cycle power generation. Exergy analysis identified exergy losses and their associated causes from chemical and physical processes. A new indicator was defined to evaluate the potential gain from minimizing exergy losses caused by physical processes—the degree of perfection of the system’s thermodynamic performance. The influences of a variety of advanced technical solutions on exergy improvement were analyzed and compared. It was found that the overall exergy loss of a series polygeneration system can be reduced significantly, from 57.4% to 48.9%, by applying all the advanced technologies selected. For gasification, four advanced technologies were evaluated, and the largest reduction in exergy loss (about 2.5 percentage points) was contributed by hot gas cleaning, followed by ion transport membrane technology (1.5 percentage points), slurry pre-heating (0.91 percentage points), and syngas heat recovery (0.6 percentage points). For methanol synthesis, partial shift technology reduced the overall exergy loss by about 1.4 percentage points. For power generation, using a G-class gas turbine decreased the overall exergy loss by about 1.6 percentage points.