A gas turbine engine with a fuel air heat exchanger located in the high pressure plenum. The heat exchanger includes at least one air conduit and at least one fuel conduit in heat exchange relationship with one another, with a fuel flow communication between a fuel source and fuel distribution members of the combustor being provided at least partly through the at least one fuel conduit, and the at least one air conduit defining a fluid flow communication between the high pressure plenum and an engine component to be cooled by the compressed air.