A method for improving Fischer-Tropsch synthesis and recycling exhaust gases therefrom. The method includes: 1) transforming raw gas for Fischer-Tropsch synthesis using a water-gas shift reaction, transporting the transformed raw gas to a Fischer-Tropsch synthesis device for Fischer-Tropsch synthesis in the presence of a Fe-based or Co-based catalyst; 2) introducing exhaust gases from the Fischer-Tropsch synthesis device to a first pressure-swing adsorber for hydrogen recovery; 3) introducing the exhaust gases from 2) to a second pressure-swing adsorber for methane recovery; 4) returning part of the hydrogen obtained from 2) to 1) to mix with the raw gas, and transforming a resulting mixed gas to adjust a hydrogen/carbon ratio of the raw gas; and 5) introducing the methane in 3) to a methane reforming device to reform the methane whereby yielding syngas having relatively high hydrogen/carbon ratio, and transporting the syngas to 1) to mix with the raw gas.