The invention discloses a heat exchange fin structure, a self-tightness sealing plate heat exchanger and a manufacture method thereof, which aim at resolving the problem of complex manufacture processes and poor sealing effect of an existing plate heat exchanger. The technical scheme is that the heat exchange fin structure and the self-tightness sealing plate comprise a plurality of square plate bodies. A curly structure in the shape of a Chinese character 'hui' is respectively arranged on four sides of each square plate body, the hui-shaped structures on two adjacent sides are matched and have opposite rolling directions, the plurality of square plate bodies are overlapped to form a three-dimensional structure, and the hui-shaped structures of the upper-layer square plate bodies and rolling downwards and the hui-shaped structures of the lower-layer square plate bodies and rolling upwards are in inserted connection. The manufacture method of the self-tightness sealing plate heat exchanger is further disclosed. The heat exchanger has the advantages of being simple in structure, good in sealing effect, simple in manufacture method and capable of achieving free assembly.