This paper presents an energy exchange system for superconducting magnetic energy storage (SMES) study. The controllable power source and equivalent dc load network are with fully user-customizable circuit parameters to imitate various power fluctuations from the equivalent pseudo external system. A new bridge-type chopper is introduced to handle the bi-directional energy exchanges between the high temperature superconducting (HTS) coil and dc load network. A small-scale prototype is developed to experimentally study the buffering effects of SMES for solving different voltage and power fluctuations. The ohmic loss caused by the flux flow in the HTS coil is discussed by integrating a new coil-current-dependent power-law formula and experimental results. The concept of the energy exchange system has the potential to be used in the design, optimization and evaluation of a SMES device prior to its practical applications.