In most concentrated photovoltaic–thermal systems, solar energy that cannot be used by photovoltaic cells is recycled for the thermal process. The unutilized energy is converted into thermal energy for driving other processes. This increases irreversible losses and restricts the efficient utilization of high energetic photons. To address these challenges, a concentrated photochemical–photovoltaic–thermochemical system is proposed to use the full spectrum of solar energy more efficiently. Photons with photonic energy significantly higher than Eg (the bandgap of photovoltaic cells) are used in the photochemical process, and the below-Eg loss of photovoltaic cells is recycled to provide heat for the thermochemical process. The proposed system realizes the cascade utilization of the full-spectrum solar radiation and can use high-energy photons more efficiently. The irreversible loss from the proposed system is decreased, resulting in higher solar utilization efficiency. The numerical results clearly show that the proposed system outperforms concentrated photovoltaic systems, concentrated thermochemical systems, and concentrated photovoltaic–thermochemical systems. The solar utilization efficiency of high-energy photons (before 600 nm) is increased from 44.01% (of common concentrated photovoltaic–thermal systems) to 80.68%. The total solar utilization efficiency in the proposed system attains 66.95% under the design condition.