The design of heating systems with groundwater source heat pumps (GWHP) is very important for reducing their power consumption. For better design, reasonable analysis of the systems is necessary. In this paper, a dynamic exergy and exergetic cost analysis of a heating system with GWHP is performed in a whole heating season by the use of structural theory of thermoeconomics and the software of TRNSYS. The relative exergy destruction of every component and the exergetic cost of the final product of the system are obtained. The results show that the heat pump has the largest relative exergy destruction under all the working conditions. The terminal unit component has the second largest relative exergy destruction at conditions above 10% load. However, at 10% load, well water transportation component has the second largest relative exergy destruction. The unit exergetic cost of the system final product during the whole heating season is 8.51W/W, similar to the result at 75% load.