In this paper, exergy analysis of a hybrid electric vehicle thermal management system (TMS) is initially investigated in order to find the areas of inefficiencies and exergy destruction within each system component. In the analysis, advanced exergy modeling is utilized to study both endogenous/exogenous and avoidable/unavoidable exergy destructions for each component of the system and further understand the interactions among the TMS components and determine the underlying reasons behind the exergy destructions. Moreover, this approach is also used to enhance exergoeconomic analyses by calculating the endogenous/exogenous and avoidable/unavoidable portion of the investment and exergy destruction costs (so-called advanced exergoeconomic analysis) in order to improve the cost effectiveness of the system and provide information on how much of the cost can be avoided for each component. Based on the analysis, it is determined that exogenous exergy destruction is small but significant portion of the total exergy destruction in each component (up to 40%, in the chiller and thermal expansion valves) and that large portion of the exergy destruction within the components (up to 70%, in the compressor) could be potentially avoided. Moreover, it is determined that electric battery, compressor, and chiller are dominated by investment cost, whereas the condenser and evaporator are dominated by the cost of exergy destruction in the system.