A method for recycling exhaust gas from Fischer-Tropsch synthesis. The method includes: 1) introducing raw gas to a shift reactor to conduct a water-gas shift reaction, and collecting shift gas; 2) introducing the shift gas to a Fischer-Tropsch synthesis device to yield a hydrocarbon fuel and exhaust gas, returning part of the exhaust gas as recycle gas; 3) introducing another part of the exhaust gas to a methanation reactor, allowing a methanation reaction to happen between the part of the exhaust gas and water vapor; 4) introducing a mixed gas product from the methanation reaction to a methane reforming reactor; 5) transporting the hydrogen and carbon monoxide resulting from the methane reforming reaction to a gas separator, separating the hydrogen and obtaining a mixed gas including carbon dioxide; and 6) returning the mixed gas including carbon dioxide to the methane reforming reactor.