One of the most important variables to know how efficient a thermal machine is the exergy. In practice, it is one of the least controlled variables. In this research, a thermal exergy study was carried out in a compact pyrotubular steam generator. To achieve this, an energy mass balance and entropy balance were carried out. The energy balance was carried out by direct and indirect methods. The percentages of the exergies of each working substance in the process are specified. The energy yield by the direct method was 0.901 and by the indirect method was 0.882, since each method has its role in the energy analysis. The irreversibilities in the process were 26%. The exergetic efficiency was 0.39, conditioned by a complete combustion in the hearth. It was demonstrated that the steam generator for the real operating conditions is oversized.