The characteristics of heat transfer and pressure drop of supercritical CO2 and water in microtube heat exchangers with and without baffles are studied experimentally. The tube bundle of the microtube heat exchanger consists of 37 stainless steel tubes with an inner diameter of 1.6 mm and an outer diameter of 2 mm. The length of the tube is 500 mm. The experiments are divided into hot water–cold water heat transfer experiments and supercritical CO2–water heat transfer experiments. The results of hot water–cold water experiments are shown to produce a large discrepancy with the conventional heat transfer correlation and new correlations of water convective heat transfer coefficient in the shell side are fitted according to the experimental results. The comprehensive performance of the heat transfer and pressure drop of the microtube heat exchanger with baffles is better than that without baffles. The results of CO2–water experiments show that the prediction of the design program based on Dang's heat transfer correlation of supercritical CO2 is relatively in better agreement with the experimental results than others. The overall pressure drop of CO2 in microtube heat exchangers is small. However, the pressure drop at the inlet and outlet of microtube heat exchangers is larger than that of conventional shell and tube heat exchangers. The pressure loss coefficient is modified according to the experimental results.