Disclosed herein is an exhaust gas cooler. The exhaust gas cooler may include a heat exchange pipe received in cooling water of an engine, and through which exhaust gas of the engine passes to exchange heat with the cooling water, and a plate configured to mount the heat exchange pipe to the engine. The heat exchange pipe may include a first pipe unit communicating with an inlet hole for exhaust gas and changing a flow direction of exhaust gas drawn from the inlet hole, a second pipe unit communicating with the first pipe unit, and a third pipe unit communicating with an exhaust gas return hole and the second pipe and changing a flow direction of exhaust gas to guide the exhaust gas to the return hole. A heat dissipation fin may be provided in an internal passage of the second pipe unit.