Introducing cooling airflow is an effective method for achieving the localized cooling rate required during waste heat recovery of blast furnace slag. However, the associated parasitic loads must be considered. This study investigates moving bed heat exchanger with airflow-assisted cooling from an exergy perspective. The effects of the granular side Peclet number, airflow side Reynolds number, and the height ratio of the airflow section on heat loss, exergy destruction, and its distributions were examined experimentally. The results show that the trends of temperature and pressure exergy destruction with each parameter tend to be opposite. Therefore, optimizing the parameters requires a trade-off between different types of destruction. Additionally, reducing exergy destruction while meeting the cooling rate requirement was considered. The optimal parameter set was determined by taking the cooling rate requirement as a constraint and minimizing the dimensionless temperature and pressure exergy destruction to obtain the Pareto front.