The heating furnace is an essential oilfield facility for surface gathering, treatment, and transportation, so the energy consumption level of an oilfield is directly affected by its operational efficiency. In this paper, the thermal efficiency, exhaust gas temperature, external surface temperature, excess air coefficient, and load rate of a heating furnace are taken as energy efficiency evaluation indexes. By improving game theory, the objective and subjective weights are combined to determine the final weights of each index. On this basis, the grey TOPSIS method is used to establish the energy efficiency evaluation model of an oilfield heating furnace, which is to comprehensively evaluate the energy consumption of the heating furnace by calculating the closeness degree between its actual and ideal operational states. Finally, the effectiveness of the energy efficiency evaluation model is verified by taking an actual oilfield as an example, the results show that the weight sequence of the indexes is thermal efficiency, exhaust gas temperature, external surface temperature, load rate, and excess air coefficient. In addition, the relative closeness of the heating furnace is mostly concentrated between 0.5 and 0.7, which shows that the efficiency is low. The weak link of energy consumption is analyzed, and the corresponding improvement measures are put forward.