The invention discloses method and device for carrying out heat exchange between fluids, which belongs to heat exchange equipment and method. The device comprises a large-diameter pipeline and a small-diameter pipeline with different pipe diameters, wherein the small-diameter pipeline is sleeved in the large-diameter pipeline and is made of metal materials with good heat conduction performance, and metal wire heat conduction bodies with good heat conduction performance and capability of passing the fluids are filled in the small-diameter pipeline and in a gap between the two pipelines. The two fluids respectively flow in the large-diameter pipeline and the small-diameter pipeline in opposite flowing directions, when the two fluids have the temperature difference, the heat can be conducted from the high-temperature fluid to the low-temperature fluid through the surface of the metal wire heat conduction bodies and the surface of the small-diameter pipeline, so the heat exchange can be realized. The invention has the advantage of simple structure, greatly improves the heat exchange efficiency and can effectively improve the energy source utilization efficiency.