This paper analyzes the current energy utilization in typical heavy industry areas of China, and identified some gaps between China and developed countries. Based on the characteristics of heavy industrial cities in China and energy utilization value coefficient, this paper comprehensively adopts multi-objective programming and analytic hierarchy process (AHP) to optimize the cities' energy allocation. In the case study for Shenyang city, four kinds of allocation scenarios on energy utilization are formed in accordance with energy allocation modes and different constraint functions. Combined with the current situation and comparisons of the four scenarios, the results show that it can meet the maximum energy coefficient, 1.687100, when weights of energy allocation is 0.2/2.03/0.77 in the primary, secondary and tertiary industries. Meanwhile, the huge space of tertiary industry should be vigorously explored and developed in order to relieve the negative effect of high consumption and low output on energy utilization, and eventually, to make scenario 4 help promote sustainable utilization of energy in Shenyang, based on which, more scientific and practicing advice on optimal energy utilization can be put forward.