A heat exchange furnace includes a combustion furnace module, a passageway module disposed around and connected removably to the combustion furnace module, and a gas-guiding unit including upper and lower guiding modules connected respectively to upper and lower ends of the passageway module. During assembly, the lower guiding module is first connected removably to the passageway module. Subsequently, the passageway module is sleeved removably on the combustion furnace module. Finally, the upper guiding module is connected removably to the passageway module.