An exchange as the name implies is where you exchange one cryptocurrency for another.  You can also buy, sell or trade cryptocurrencies against each other or other assets within the exchange. There are different types of exchanges but the most significant difference is that you have Decentralise Exchanges (DEX) those which are not controlled by a central body and Centralised Exchanges which have significant control by a centralised body and normally subject users to KYC (Know Your Customer) which scrutinise users, requiring personal details.