Integrated Gasification Combined Cycle (IGCC) is considered as one of the advanced clean coal power technologies. Here, we have investigated an IGCC with air separation unit (ASU) on the basis of exergy analysis, and clarified the distribution of exergy destruction in sub-systems including air separation unit, coal gasifier, coal gas clean-up unit, air compressor, combustor of gas turbine, gas turbine, heat recovery steam generation and steam turbine. Particularly, we have focused on the interaction between the ASU and the gas turbine (GT). The results obtained disclosed the significant role of the integration between air separation unit and air compressor in the GT, and the effect of nitrogen injection to the combustor on IGCC overall performance. The study also points out that larger exergy destruction take place in the processes of gasification, combustion in GT, and air separation, and so does the change of exergy destruction distribution with the air integration degree and the nitrogen injection ratio. We have demonstrated the potential for improving the IGCC system. This investigation will be valuable for the synthesis of next-generation IGCC.