The combined production of electricity and thermal energy (combined heat and power or co-generation) is the most efficient and convenient approach to reduce costs for energy at industrial power plants and district heating plants that use natural gas as fuel to produce thermal energy for various needs. This paper analyses the operational characteristics of the combined heat and power plant, which has been operating since January 1, 2021, at the Voždovac Heating Plant as part of the Belgrade district heating system. The combined heat and power plant consists of three gas engine units with a total nominal electric power of 10 MW and thermal power of 10.1 MW, which use natural gas as fuel. The combined heat and power plant is used for district heating and preparing domestic hot water while electricity is sold to the local electric grid. The analysis in this paper focuses on the plant’s operational characteristics: the number of working hours, the total energy consumption and energy production, the efficiency as well as the operational and maintenance costs. Also, the impact of the drastic changes in the prices of natural gas, electricity, and maintenance costs in the last year on the financial profitability of the combined heat and power plant was analysed in particular.