This paper develops an optimal control methodology for the energy management (EM) of a series hybrid electric vehicle (HEV) with consideration of ancillary cooling losses, to minimize fuel consumption. Both engine and battery thermal management (TM) models are integrated into the HEV powertrain model as they interact with each other during operation. By collecting all components for propulsion and cooling, a control-oriented model is established, which enables the joint EM and TM optimization problem to be solved simultaneously. Experimental driving cycles are utilized to reveal the impact of the cooling losses on the fuel economy under different driving circumstances. The case study shows the effectiveness of the proposed strategy in finding the optimal power sharing of the hybrid powertrain with consideration of both propulsion and overall cooling requirements. Moreover, a benchmark method based on separately optimized EM and conventional thermostat and PI controlled cooling systems is introduced to verify the solution quality of the proposed approach. It is demonstrated that the proposed method outperforms the benchmark by 0.7%-2.49% in terms of fuel economy, depending on the driving scenarios.