In order to reduce the operating cost of propane recovery from natural gas in the DHX (Direct Heat Exchange) process, and improve the economic benefits of the process system, the propane recovery process of a natural gas processing plant was taken as an example whereby the DHX process was simulated by using Aspen HYSYS software. The process was then analysed using conventional exergy, advanced exergy and exergy economic analysis methods. From the analysis, it is found that the total exergy loss and exergy efficiency of the system are 8 998.23 kW and 29.28% respectively., The loss in the expansion unit and external compressor accounts for a large proportion of the exergy loss, and the cost of avoidable endogenous and exogenous exergy loss is relatively high. Hence it is the focus of optimization., and the improvement direction is placed on parameter optimisation. Based on the optimization strategy, the parameter sensitivity analysis of the heat exchanger is carried out. The results show that in the case of natural gas processing capacity of 15×106 m3/d, when the outlet pressure of the expansion end is maintained at 3 550 kPa, the system cost is reduced by 43.76 ＄/h. The economic benefit is significant and the research results have strong guiding significance for the parameter adjustment of the propane recovery unit.