This paper applies DEA-SBM method with undesired output to calculate the energy productivity of 281 cities at prefecture level and above in China, and further explores the effect of export on productivity of energy. We find that export improves the city’s productivity of energy remarkably which is consistent in the test of standard coal and electricity consumption indicators. The sub-sample test reveals that the export growth of cities with low and middle income, a large number of people, located in coastal areas and resource-based play a greater role in promoting energy productivity. This paper also proves that export can affect a city’s energy productivity through technological and structural effects. Technological effects show that exports can promote energy productivity by improving technology of R&D and pollution treatment. Structural effects show that export structures have impacts on energy productivity significantly: exports from ordinary trade have greater positive impact on a city’s energy efficiency than processing trade, exports from private and foreign enterprises have greater positive impact than state-owned enterprises.