A helical pile including a heat exchanger is described. The pile is formed from a lead section and one or more extension sections. The interior of the lead and extension sections are hollow and form a heat exchanger cavity. At the lower end of the lead section is a helical blade. Rotation of the lead section causes the helical blade to screw into the ground, thus pulling the lead section downward. Extension sections are added to the lead section and the pile is rotated until it is installed to a desired depth. The pile includes an inflow tube extending a predetermined distance into the heat exchanger cavity and an outflow port connected with the heat exchanger cavity. In operation, a heat carrying fluid is pumped into the inflow tube from a heat source or sink, for example, a heat pump for a building heating and cooling system. The fluid exits the tube at a point near the bottom of the heat exchanger cavity. The fluid flows upward through the heat exchange cavity and exchanges heat with the surrounding soil. The fluid flows out through the outflow port and back to the heat source or sink.