Patients may seek health care services from various providers during treatment. These providers could serve in a network (affiliated) or practice separately (unaffiliated). Thus, using secure and reliable health information exchange (HIE) mechanisms would be critical to transfer sensitive personal health information (PHI) across distances. Studying patients' perceptions and opinions about exchange mechanisms could help health care providers build more complete HIEs' databases and develop robust privacy policies, consent processes, and patient education programs. Due to the exploratory nature of this study, we aim to shed more light on public perspectives (benefits, concerns, and risks) associated with the four data exchange practices in the health care sector. In this study, we compared public perceptions and expectations regarding four common types of exchange mechanisms used in the United States (i.e., traditional, direct, query-based, patient-mediated exchange mechanisms). Traditional is an exchange through fax, paper mailing, or phone calls, direct is a provider-to-provider exchange, query-based is sharing patient data with a central repository, and patient-mediated is an exchange mechanism in which patients can access data and monitor sharing. Data were collected from 1,624 subjects using an online survey to examine the benefits, risks, and concerns associated with the four exchange mechanisms from patients' perspectives. Findings indicate that several concerns and risks such as privacy concerns, security risks, trust issues, and psychological risks are raised. Besides, multiple benefits such as access to complete information, communication improvement, timely and convenient information sharing, cost-saving, and medical error reduction are highlighted by respondents. Through consideration of all risks and benefits associated with the four exchange mechanisms, the direct HIE mechanism was selected by respondents as the most preferred mechanism of information exchange among providers. More than half of the respondents (56.18%) stated that overall they favored direct exchange over the other mechanisms. 42.70% of respondents expected to be more likely to share their PHI with health care providers who implemented and utilized a direct exchange mechanism. 43.26% of respondents believed that they would support health care providers to leverage a direct HIE mechanism for sharing their PHI with other providers. The results exhibit that individuals expect greater benefits and fewer adverse effects from direct HIE among health care providers. Overall, the general public sentiment is more in favor of direct data transfer. Our results highlight that greater public trust in exchange mechanisms is required, and information privacy and security risks must be addressed before the widespread implementation of such mechanisms. This exploratory study's findings could be interesting for health care providers and HIE policymakers to analyze how consumers perceive the current exchange mechanisms, what concerns should be addressed, and how the exchange mechanisms could be modified to meet consumers' needs.