The invention discloses a U-shaped tube heat exchanger with a baffle plate provided with an air bag structure. The U-shaped tube heat exchanger comprises a cylinder body, a shell flange gasket a, a shell flange gasket b, a shell flange a, a shell flange b, a tube plate component, an elliptical head a, an elliptical head b, a tube box cylinder body, a pass partition plate, a welding neck flange a,a welding neck flange b, a welding neck flange c, a welding neck flange d, a saddle support a, a saddle support b, an equal-length stud and a hexagon nut; the tube plate component is composed of a tube plate, a baffle plate a, a baffle plate b, a baffle plate c, a baffle plate d, a connecting plug a, a connecting plug b, a connecting plug c, a connecting plug d, a connecting plug e, a connecting plug f, an air conduit a, an air conduit b, an air conduit c, an air conduit d, a U-shaped heat exchange tube, a distance tube, a pull rod and an air bag. The vibration at the gap of the baffle plate and the cylinder boxy and fluid short-circuit due to the own structure of the U-shaped tube heat exchanger can be effectively solved by adopting the air bag structure.