The utility model discloses a wind generation set and a gear box heat exchange device and a heat exchange circulating system of the wind generation set. The heat exchange device comprises a gear oil heat exchanger arranged inside a gear box or inside an auxiliary oil tank of the gear box; the gear oil heat exchanger is provided with an inlet and an outlet which are respectively used for enabling a heat exchange medium to enter and exit. The heat exchange circulating system comprises the gear box heat exchange device, a circulating pump and a medium heat exchanger; the outlet of the gear oil heat exchanger is communicated with an inlet of the circulating pump; an outlet of the circulating pump is communicated with an inlet of the medium heat exchanger; an outlet of the medium heat exchanger is communicated with the inlet of the gear oil heat exchanger. The heat exchange circulating system also can be provided with a reversing valve and a heater so as to implement the integration of cooling and heating functions. The heat exchange device disclosed by the utility model has a small size and adopts little auxiliary equipment; the heat exchange circulating system has high heat exchange efficiency and a low fault rate and is beneficial for reducing the hidden dangers of equipment pollution, fire and the like which are caused by leakage of gear oil of the gear box of the wind generation set.