A PROX reactor integrated with a heat exchanger and an operating method thereof capable of effectively controlling temperature of a preferential oxidation reactor so as to obtain optimal activation and yield. The PROX reactor integrated with a heat exchanger of the present invention includes a pipe having an inlet and an outlet, a heat exchanger cooling gas passing through the pipe, a catalyst part positioned at the rear end of the heat exchanger, upon considering the flow of gas, and shifting carbon monoxide contained in the gas into other substances; and a temperature sensor measuring the temperature of the gas coming out through the catalyst part.