Background: Climate change influences patterns of human mobility and health outcomes. While much of the climate change and migration discourse is invested in quantitative predictions and debates about whether migration is adaptive or maladaptive, less attention has been paid to the voices of the people moving in the context of climate change with a focus on their health and wellbeing. This qualitative research aims to amplify the voices of migrants themselves to add nuance to dominant migration narratives and to shed light on the real-life challenges migrants face in meeting their health needs in the context of climate change. Methods: We conducted 58 semi-structured in-depth interviews with migrants purposefully selected for having moved from rural Bhola, southern Bangladesh to an urban slum in Dhaka, Bangladesh. Transcripts were analysed using thematic analysis under the philosophical underpinnings of phenomenology. Coding was conducted using NVivo Pro 12. Findings: We identified two overarching themes in the thematic analysis: Firstly, we identified the theme “A risk exchange: Exchanging climate change and health risks at origin and destination”. Rather than describing a “net positive” or “net negative” outcome in terms of migration in the context of climate change, migrants described an exchange of hazards, exposures, and vulnerabilities at origin with those at destination, which challenged their capacity to adapt. This theme included several sub-themes—income and employment factors, changing food environment, shelter and water sanitation and hygiene (WaSH) conditions, and social capital. The second overarching theme was “A changing health and healthcare environment”. This theme also included several sub-themes—changing physical and mental health status and a changing healthcare environment encompassing quality of care and barriers to accessing healthcare. Migrants described physical and mental health concerns and connected these experiences with their new environment. These two overarching themes were prevalent across the dataset, although each participant experienced and expressed them uniquely. Conclusion: Migrants who move in the context of climate change face a range of diverse health risks at the origin, en route, and at the destination. Migrating individuals, households, and communities undertake a risk exchange when they decide to move, which has diverse positive and negative consequences for their health and wellbeing. Along with changing health determinants is a changing healthcare environment where migrants face different choices, barriers, and quality of care. A more migrant-centric perspective as described in this paper could strengthen migration, climate, and health governance. Policymakers, urban planners, city corporations, and health practitioners should integrate the risk exchange into practice and policies.