<b><i>Background:</i></b> Exchange transfusion (ET) is a high-risk procedure. The type and rate of complications in neonatal red cell alloimmune hemolytic disease exclusively are not clear. <b><i>Objectives:</i></b> Our aim was to study the type and rate of complications associated with ET in a large series of neonates with hemolytic disease of the fetus and newborn (HDFN) due to red cell alloimmunization. <b><i>Methods:</i></b> All neonates with HDFN due to red cell alloimmunization admitted to our center between January 2001 and June 2011 were eligible for this study. We recorded the number and rate of complications during admission in the group of neonates treated with ET (ET group) and not treated with ET (no-ET group). Multivariate logistic regression analysis was performed to measure the independent risk of complications of ET treatment. <b><i>Results:</i></b> A total of 347 infants with red cell alloimmune hemolytic disease were included; 39% (134/347) were treated with at least one ET (ET group), and 61% (213/347) did not require ET (no-ET group). Comparison between the ET group and no-ET group showed that ET treatment was independently associated with proven sepsis [8 vs. 1%, respectively; odds ratio (OR) 8.3, 95% confidence interval (CI) 1.7–40.3; p = 0.009], leukocytopenia (88 vs. 23%, respectively; OR 36.0, 95% CI 17.5–73.8; p < 0.001), severe thrombocytopenia (platelet count <50 × 10⁹/l; 63 vs. 8%, respectively; OR 31.4, 95% CI 14.0–70.4; p < 0.001), hypocalcemia (22 vs. 1%, respectively; OR 27.4, 95% CI 5.9–126.8; p < 0.001) and hypernatremia (8 vs. 0%, respectively; p < 0.001). There were no neonatal deaths in the ET group. <b><i>Conclusion:</i></b> ET in neonates with HDFN is associated with an increased risk of sepsis, leukocytopenia, thrombocytopenia, hypocalcemia and hypernatremia.