In order to make full use of abundant new energy resources and meet the demand for diversity of energy use, the system containing new energy resources can be used to realize the combination of heat and power supply. As a power source or auxiliary cold and heat supply, it can reduce environmental pressure. However, various energy forms will lead to uncertain, lower energy use and higher cost. New methods are needed to evaluate the advantages and disadvantages of a CCHP-PV-Wind system. A MODM based on Fuzzy-AHP and AEW is proposed to establish an index system and calculate weight. An energy index is introduced to describe the sustainability of the system, and Kendall’ in Copula theory is used to deal with the correlation between CCHP and CCHP-PV-Wind systems. Finally, energy theory is applied to evaluate and analyze both systems based on a selected building in the western part of China. The research results can provide some reference for the comprehensive use of new energy resources in China. This work is supported by the Natural Science Foundation of Xinjiang Uygur Autonomous Region (No. 2020D01C068).