The exchanged hypercube EH(s, t), proposed by Loh et al. [The exchanged hypercube, IEEE Trans. Parallel Distri. Syst. 16 (2005) 866-874], is obtained by systematically removing links from a binary hypercube Q(n). This paper determines that the connectivity and the edge connectivity of EH(s, t) are s + 1 where s <= t. That is, for s <= t, at least s + 1 vertices (resp. s + 1 edges) of EH(s, t) are removed to get a disconnected graph.