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As an important energy base in China, Shanxi Province, in its economic development, has depended heavily on coal resources. However, enormous coal consumption produces a large amount of carbon dioxide and an aggravated ecological problem. In this paper, the super efficiency slack-based measure and data envelopment analysis (SBM-DEA) model and Malmquist index were used to calculate the energy consumption and carbon emission efficiency of 11 prefecture-level cities in Shanxi in the period from 2000 to 2020. The results were as follows: (1) The primary form of energy consumption in Shanxi Province is the burning of coal, and the carbon emission efficiencies of the 11 prefecture-level cities are quite different. The technical efficiency, technological progress, and total factor productivity of Taiyuan and Shuozhou were found to be greater than 1 compared to other cities in Shanxi. (2) On the whole, although the carbon emission rate of Shanxi Province has slowed down, it still faces the problems of a large total emission base, high carbon emission intensity, and low efficiency of the unit carbon emission output. Industrial structure is the key factor restricting improvements in the efficiency of carbon emissions in Shanxi Province. (3) From the spatial and temporal evolution of the carbon emission efficiency in Shanxi Province, we can see that the carbon emission efficiency of the whole province gradually dispersed and improved from the central and northern regions to the southern regions during the period of 2000–2020. In order to achieve a low-carbon economy, Shanxi Province must optimize its industrial structure, accelerate research and development in low-carbon technologies, adjust the energy structure, and promote the construction of an energy supply system with clean low-carbon energy as the main source. [ABSTRACT FROM AUTHOR]