In response to the heat load requirements of the high-thrust liquid rocket engine, a light-weight lattice structure is used to fill traditional a heat exchanger. A parameterized model library of the lattice structure is established, and the relative density of the lattice structure is adjusted by changing the unit cell structure parameters to obtain different filling structures. A comprehensive comparison of heat exchangers with different filling structures performed in terms of weight, heat transfer efficiency, and turbulence intensity. Using the finite difference method, the numerical calculation of the non-steady heat–fluid–solid coupling conjugate heat transfer of the eight-lattice structure is performed, and the dynamic heat transfer process between the lattice structure and liquid oxygen is simulated using the VOF model and the SST k-ω model. The results show that the pressure of the fluid in the heat exchanger increases with increasing relative density, leading to a high outlet temperature and greatly increasing the outlet velocity. The support trusses close to the wall obviously hinder the flow of liquid oxygen, resulting in a sudden change in the flow rate behind the support trusses, driving the high-temperature fluid at the bottom to move upwards. The direction of the support trusses and the unit cell porosity have a greater impact on the liquid oxygen flow rate, which in turn affects the flow and heat transfer performance of the heat exchanger. In consideration of the heat load requirements of the heat exchanger, star-type lattices are used to fill the heat exchanger. When the flow is fully developed, the volume ratio of the heated fluid is 85.60%, and the outlet temperature is 390 K, which meets the design requirements.