The invention discloses a high-efficiency energy-saving heat exchange device. The high-efficiency energy-saving heat exchange device comprises a main shell, wherein a waste water inlet is formed in the upper portion of the main shell, a bottom cover is fixed below the main shell, a waste water outlet is formed in the lower portion of the main shell, a hot water outlet and a cold water inlet are further formed in the main shell, a filtering device communicating with the waste water inlet is further arranged at the upper portion in the main shell, a flow guide cover is arranged below the filtering device, a corrugated pipe is further arranged in the main shell, a corrugated pipe outlet communicates with the hot water outlet, a corrugated pipe inlet communicates with the cold water inlet, anda self-pressure heat exchange assembly is further arranged in the main shell. As the corrugated pipe is completely soaked in waste water in the self-pressure heat exchange assembly, the waste water and cold water form cold and heat convection inside and outside the corrugated pipe, heat exchange is facilitated, heat from the waste water obtained after hair washing, face washing and vegetable washing can be fully utilized to preheat the cold water before heating, and the energy consumption of a rear water heater can be obviously reduced.