Relying solely on electrical energy storage for energy regulation makes it difficult to provide a stable and efficient energy supply for microgrid systems currently. Additionally, the economic cost of microgrids and the rate of energy use present a challenge that must be addressed. A strategy for allocating capacity for multi-energy microgrids that takes energy efficiency and hydrogen energy into account is offered as a solution to the aforementioned issues. Initially, the construction of the multi-energy microgrid system takes into account the thermoelectric coupling properties of hydrogen energy devices. Second, the system’s energy utilization level is measured using the exergy efficiency analysis. Next, the multi-objective capacity optimization allocation model of the multi-energy microgrid system is established, with the exergy efficiency and system economic cost serving as the objective functions. Lastly, the multi-objective model is solved using the ε-constraint approach to find the Pareto frontier, and Technique for Order Preference by Similarity to an Ideal Solution is employed for decision-making. The example results demonstrate that, when compared to a traditional microgrid using electric energy storage, the proposed model can effectively lower the system’s economic cost and improve exergy efficiency. Additionally, multi-objective capacity optimization can be used to strike a balance between exergy efficiency and the system’s economic cost. For relevant studies on the capacity allocation of multi-energy microgrids, this work can be a helpful resource.