In this work, an experimental study of heat transfer between air and water in a small-scale pillow-plate heat exchanger (PPHE) consisting of two pillow plates assembled together in one unit was carried out. In the experiments, cooling water flows in two inner channels (i.e., channels inside welded pillow plates), whereas air is directed to the outer channel between the plates. Heat transfer and hydraulic resistance in inner and outer PPHE channels are analysed based on the experimental data. The measurements were used to develop correlations for the pressure loss and heat transfer coefficients in both inner and outer channels. For the detailed investigation of pressure loss and wall shear stress in the outer channel between pillow plates, CFD simulations were carried out for the considered geometry. The Reynolds number was equal to 5,173, which ensured fully developed turbulent flow. The proposed correlations derived from experimental data were compared with the CFD simulation results. They can be used to predict thermal and hydraulic performance of small-scale PPHEs.