This paper has made an exergy analysis of the performance of a 600 MW thermal power plant at specific load of 470 MW, and studied on the exergy loss and its distributing of each subsystem and equipment. The results show that the exergy loss of the whole system is about 1111.41MJ, and the exergy efficiency of the whole system is 30.75% or so. Additionally, we also found that the exergy loss of the boiler combustion system and heat transfer process is the most part. The results can let us understand the essence of the energy loss better, and provide the guidance for energy saving of the power plant.