Currently, the cutting oil supply device is not equipped to cool the cutting oil. Therefore, additional cooling device should be connected to cool the cutting oil. This has the disadvantage of increasing the size of the device and reducing its cooling capability. To overcome these shortcomings, cooling coils are applied to the outside of the cutting oil filtering device to develop a heat exchanger filter for simultaneous coolant filtering and cooling to improve the compactness of the cutting oil supply device and cooling capability of the cutting oil. For the development of heat exchanger filter, flow and heat transfer analysis were performed. Due to the small heat transfer area of 10 cooling coils, less heat exchange occurred. In the 20 cooling coils, the coolant cooling coils prevented smooth flow of the cooling oil in the heat exchanger filter. The cooling efficiency of the 15 cooling coils were best, and the cooling temperature decreased non-linearly as the supply flow rate of the cutting oil increased.