Consolidating and developing economic and trade cooperation with the Eurasian Economic Union is of great significance for "the Belt and Road" Initiative. Based on the theory of new economic geography, combined with the structured trade gravity model with the introduction of exchange rate factors, the authors construct a theoretical model of exchange rate changes, the relationship between OFDI and export trade, and put forward research hypotheses. The exchange rate changes are divided into exchange rate level changes and exchange rate fluctuations, and the third-party exchange rate fluctuations are introduced and refined into exchange rate fluctuations of regional neighbors in terms of exchange rate fluctuations between China and the United States and between China and Europe. Using the panel data of trade and investment between China and the member countries of the Eurasian Economic Union from 2003 to 2017, the authors empirically test the exchange rate changes, the impact of OFDI on export trade and the export effect of OFDI under the condition of heterogeneous exchange rate changes by using the estimation methods such as the comprehensive feasible generalized least square method (FGLS), instrumental variable method (2SLS, GMM and LIML). It is found that: 1) China's OFDI and export trade to Eurasian Economic Union are complementary; Exchange rate fluctuations have a significant inhibitory effect on export trade, while the impact of exchange rate changes is not significant; Regional economic integration significantly reduces China's export trade to the Eurasian Economic Union; Introducing the third-party exchange rate fluctuation variable, it is found that the third-party exchange rate fluctuation effect is heterogeneous. The exchange rate fluctuation of regional neighbors helps to promote China's export to Eurasian Economic Union, while the impact of exchange rate fluctuation between China, the United States and central Europe is not significant.2) The export products are divided into primary products, labor-intensive products and capital-intensive products by using the international trade standard classification of goods (SITC), and the impact of OFDI on the export trade of heterogeneous products is further explored. It is found that China has a significant complementary relationship with the Eurasian Economic Union OFDI and different types of products, the change of exchange rate level still has no significant impact on the export of different types of products; Bilateral exchange rate fluctuations and regional economic integration significantly inhibit the export trade between China and the Eurasian Economic Union. At the same time, considering the third-party exchange rate fluctuations, the impact of bilateral exchange rate fluctuations on primary products increases and the impact on labor-and capital-intensive products decreases; The impact of third-party exchange rate fluctuations on different types of products is heterogeneous. The third-party exchange rate fluctuations significantly promote primary products exports; The third-party exchange rate fluctuations have no significant impact on labor-intensive products; Among capital intensive products, only the exchange rate fluctuations of neighboring countries promote exports.3) Setting the interaction term model of exchange rate change, third-party exchange rate fluctuation, regional economic integration and OFDI, this paper empirically tests China's export effect to Eurasian Economic Union OFDI under the condition of heterogeneous exchange rate change. It is found that in the export effect of OFDI, exchange rate fluctuation has a significant inhibitory effect, and the impact of regional economic integration and exchange rate level change is not significant; The third-party exchange rate fluctuation effect is heterogeneous. The exchange rate fluctuation of regional neighbors significantly inhibits the export effect of OFDI, while the exchange rate fluctuation of China, the United States and central Europe has no significant impact.