Due to the contradiction between energy supply and demand in China, a large amount of energy must be transported from western areas to eastern cities every year. To evaluate the efficiency of this large-scale energy transport system, this paper proposes an exergy-based method and applies this method to the analysis of coal transportation from Inner Mongolia to Tianjin as a case study. Here, two energy-moving strategies, coal transportation and electricity transmission, are compared to find the optimal alternative. The results indicate that when the heat-to-electric ratio is equal to 0, the electricity transmission system has a higher efficiency than the coal transportation system. However, as this ratio increases, the efficiency of the electricity transmission system decreases considerably faster than that of the coal transportation system. Finally, given the proposed application of this work, the heat supply differences between summer and winter are considered, and an integrated strategy for energy transportation is proposed.