A variable exhaust valve assembly for a vehicle includes an exhaust housing, a power transmission device that transmits rotational power, a shaft that extends through the exhaust housing and is coupled with a valve so as to open and close the exhaust housing, and a heat shielding unit to reduce heat transfer between the power transmission device and the exhaust housing. The power transmission device is configured to regulate an opening degree of the valve. The variable exhaust valve assembly is improved in durability by minimizing damage to power transmission caused by high-temperature heat of exhaust gas, and reducing vibration transmitted to the power transmission device.