The invention provides a heat exchange device with a multi-stage energy efficiency point compressor and a control method thereof, and belongs to the technical field of heat exchange equipment. The compressor comprises two compression cylinder bodies and a terminal winding circuit capable of carrying out star connection and delta connection switching. A controller of the heat exchange device is used for obtaining the current cylinder body mode and the current running frequency of the compressor, the cylinder body mode comprises a single-cylinder mode or dual-cylinder mode, on the basis of the current cylinder body mode and the current running frequency of the compressor, the compressor is switched to the corresponding target cylinder body mode from the current cylinder body mode and switched to the corresponding target connection mode from the current connection mode, and the connection mode comprises the star connection mode or the delta connection mode. According to the heat exchangedevice, according to the running mode of the compressor, the single and dual cylinder mode switching and star and delta connection mode switching combined manner is adopted, in the compressor runningprocess, the device can adapt to the wider load range, and the device can run in a more energy-saving manner.