The improvement in thermal efficiency for coal to power processes is increasingly important due to concerns on CO2 emissions. This paper presents a systematic study on direct combustion coal to power processes with respect to thermodynamic, technical and economic factors. Traditional exergy analysis focuses on irreversibilities in existing processes, while the new methodology investigates the thermal efficiency from its theoretical maximum to practical values by adding irreversibilities one by one. As a result of the study presented in this paper, various measures for increasing the thermal efficiency are investigated and the corresponding improvement potential is presented. For a reference power plant, the exergy of the coal feed is calculated to be 1.08 times the lower heating value. The actual thermal efficiency is 45.5%. The irreversibilities are caused by the combustion reaction, heat transfer between flue gas and water/steam, low temperature heat losses, the steam cycle, and other factors. Different measures to increase the thermal efficiency of the reference plant by 0.1% points are presented. The minimum thermal efficiency penalty related to CO2 capture is 2.92–3.49% points within an air factor range of 1.0–1.4 when the CO2 is 100% recovered.