The competition and interlinkages between energy, water, and land resources are increasing globally and are exacerbated by climate change and a rapid increase in the world population. The nexus concept has emerged for a comprehensive understanding related to the management and efficiency of resource use. This paper assesses water−energy−land nexus (WELN) efficiency through integration of the principles of Life Cycle Assessment (LCA) and exergy analysis, using the Chilean energy sector (CES) as a study case. The cumulative exergy consumption (CExC) and cumulative degree of perfection (CDP) are used as indicators for WELN efficiency. The results show the production of 1 MWh of electricity required 17.3 GJex, with the energy component of WELN (fossil and renewable energy sources) being the main contributor (99%). Furthermore, the renewable energy technologies depicted higher CDP of the water−energy−land nexus due to lower CExC and higher technology efficiency concerning non-renewables. The water and land resources contributed slightly to total exergy flow due to low quality in comparison with the energy component. Nevertheless, water availability and competition for land occupation constitute important issues for reducing environmental pressures and local conflicts. This study demonstrated the feasibility of exergy analysis for the evaluation of WELN efficiency through a single indicator, which could facilitate the comparison and integration with different processes and multi-scales.