A novel supercritical water system was proposed to treat sewage sludge harmlessly in this work, with its core to produce syngas by supercritical water gasification (SCWG) of sewage sludge and dispose of the residual liquid organics by supercritical water oxidation (SCWO) for heat release and harmless disposal. Moreover, a cool wall reactor was employed to solve corrosion and salt deposition, while the reaction heat was recovered for power generation, and the heating exchange net was optimized. The effects of SCWG temperature (400–550 °C), moisture content of sewage sludge (87–95 wt%), pressure (23–29 MPa), and oxidation coefficient (0–0.5) on the characteristics of the SCWG-SCWO combined system, and the influence of heating method for supercritical water on the exergy destruction and system efficiency, were investigated and discussed. The results showed that an increase in SCWG temperature, the decrease in moisture content and oxidation coefficient, except for the effect of pressure, could significantly improve the net exergy efficiency of the system. Under the condition of SCWG temperature being 450 °C, moisture content of 87 wt%, 25 MPa and oxidation coefficient being 0, the electricity self-sufficient rate, cold gas efficiency, exergy efficiency and net exergy efficiency were 18.08%, 13.09%, 15.94%, 15.41% and 10.06%, respectively. Inputting external energy could tremendously impact the whole system. When the temperature of heat source for heating water was higher than the reaction temperature of SCWO, the net exergy efficiency of the system could reach 27.73%. The thermodynamic efficiency of the SCWG-SCWO combined system outperforms the single SCWO case. This study provided an industrial basis for the hierarchical treatment of sewage sludge, and offered a new direction for pollutant treatment by the combined supercritical water technologies.