The invention discloses a heat exchange method and a heat exchange mechanism thereof and a heat exchanger. The heat exchange mechanism comprises a hot cavity, a cold cavity and a rotating column body;and the hot cavity and the cold cavity at least share the outer side wall of the same rotating column as the respective inner walls. The heat exchange mechanism and the heat exchanger are high in heat exchange efficiency, and can meet the engineering requirements of high-temperature heat exchange under some special working conditions.