The application of ocean thermal energy conversion is an effective method to extend underwater vehicles’ running times and operating ranges, and the solid–liquid phase transition of the phase change material (PCM) in the heat exchanger is a key process for underwater vehicles to collect ocean thermal energy. This study proposes a heat exchanger structure for a small-size thermal energy power generation device and establishes the heat transfer model for the heat exchanger. Simulations were conducted considering convective heat transfer, and the obtained results demonstrated the feasibility of the designed structure. A prototype of the heat exchanger was developed, and physical experiments were conducted to validate the performance of the prototype. The results show that the melting process of the heat exchanger can be completed within 6 to 12 h, the solidification process can be completed within 3 to 7 h, and the heat transfer time decreases with the increase in temperature difference, verifying the compatibility with the underwater vehicles’ working patterns. Moreover, the heat exchanger could theoretically extend their lifetime. The results can provide a reference for the structural design and optimization of the heat exchanger for small ocean thermal energy power generation devices in the future.