The invention is applicable to heating systems for heating pressurized gas, in particular natural gas, which is expanded in an expansion machine. Such heating system comprises an internal combustion engine (14), in particular a gas engine, and a first cooling circuit (11) for removing heat developed by the engine (14), which first cooling circuit (11) incorporates a first heat exchanger (3) for delivering heat obtained in cooling the engine (14) to the gas. According to the invention, such heating system is characterized by a second cooling circuit (20) for cooling combustion air to be fed to the engine (14), which second cooling circuit (20) incorporates a second heat exchanger (7) for delivering heat obtained in cooling the combustion air to the gas. The first cooling circuit (11) can incorporate a separate heat exchanger (15) for cooling the exhaust gases of the internal combustion engine (14) and heating the gas. If the engine (14) is fed by compressed air cooled by an intercooler (21), this intercooler (21) can be incorporated in the second cooling circuit (20). The first heat exchanger (3) can for instance be situated upstream of the expansion machine (5), while the second heat exchanger (7) be situated downstream of the expansion machine (5) or upstream of the first heat exchanger (3). Both the internal combustion engine (14) and the expansion machine (5) can drive one and the same generator (30).