In order to ensure the structural safety of plate-fin heat exchanger, a model was proposed to simulate the stress of plate-fin structures in the cool-down process. The stress of plate-fin structures was investigated in the cool-down process based on directly coupled Finite Element Method. The results showed that the most easily damaged area happened in the brazed joint between fin and plate in the cool-down process. At the same time, the stress was obviously influenced by the temperature difference between natural gas (NG) and mixture refrigerant (MR) and increased with increasing temperature difference. The heat transfer performance had little influence on the stress of plate-fin structures when the temperature difference between NG and MR was less than 10 K. The stress of plate-fin structures was also slightly impacted by the temperature drop rate as the temperature drop rate of NG was the same as that of MR in the cool-down process.