Achieving a secure and stable energy supply while steadily advancing the dual-carbon goals constitutes a dual strategic task for China’s sustainable development. Capacity governance policies serve as an effective tool for the government to regulate industrial capacity, facilitating a balance between supply and demand through interventions on both the production and consumption sides. As a fundamental energy source in China, coal capacity governance policies involve complexity and span multiple domains, with their effectiveness relying on synergy across different levels and departments. Using a hierarchical linear model, this study examines the specific impacts of policy synergy in capacity governance—from both the central and local government perspectives—on local economic, environmental, and social outcomes. The findings indicate that policy synergy at the central level yields significant economic and social benefits, while its environmental benefits remain less evident. In contrast, policy synergy at the local level demonstrates significant positive effects across all three dimensions: economic, environmental, and social. By quantitatively assessing the tiered differences in the multidimensional benefits of policy synergy, this study provides a scientific basis and theoretical support for both central and local governments to pursue maximized economic, environmental, and social benefits.