The application of exergy analysis in the evaluation of the ethanol steam reforming (ESR) process in a catalytic membrane reactor (CMR) was presented. ESR experiments were performed at T = 873–923 K and P = 4–12 bar in a CMR containing Pd–Ag membranes sandwiched by Pd–Rh/CeO2 catalyst, aiming to produce fuel cell grade pure hydrogen. The effect of the operating conditions on the pure hydrogen production rate, hydrogen yield and recovery, exergy efficiency, and thermodynamic losses was investigated. Total hydrogen yield of 3.5 mol H2 permeated per mol ethanol in feed with maximum hydrogen recuperation of 90% was measured at 923 K and 12 bar. The highest amount of exergy was destructed via heat losses and the retentate gas stream. Exergy efficiency up to around 50% was reached in the case of the insulated reactor at 12 bar and 923 K. Exergy efficiency placed between 70–90% in the case of recovery of the retentate gas in an insulated reactor. It was concluded that operating at the highest pressure, the lowest S/C ratio, and 923 K gives the best exergy efficiency.