The growing emotional stress in modern society has increased the demand for Emotional Support Conversations (ESC). While Large Language Models (LLMs) show promise for ESC, they face two key challenges: (1) low strategy selection accuracy, and (2) preference bias, limiting their adaptability to users’ emotional needs. Existing supervised fine-tuning (SFT) struggles to address these issues, as it rigidly trains models on single gold-standard responses without modeling nuanced strategy trade-offs. To overcome these limitations, we propose a novel two-stage framework that optimizes strategy selection preferences at each dialogue turn. We first leverage Monte Carlo Tree Search to construct ESC-Pro, a high-quality preference dataset with turn-level strategy-response pairs. Then training on ESC-Pro with Chain-of-Strategy Optimization (CSO) improves both strategy accuracy and bias mitigation, enabling LLMs to generate more empathetic and contextually appropriate responses. Experiments on LLaMA-3.1-8B, Gemma-2-9B, and Qwen2.5-7B demonstrate that CSO outperforms standard SFT, highlighting the efficacy of fine-grained, turn-level preference modeling in ESC.