Hi, welcome to iMore.
I'm not familiar with exchange accounts, all my contacts are in my iCloud.
In order to answer your question, I need some additional information.
1: have you enabled contacts for exchange under settings? Do they appear in your Contacts app on your iPhone?
2: What exchange service are you using?
Feel free to sign up for our forum in order to be able to answer in this thread. We're happy to help.
Meanwhile I hope somebody with more knowledge will come along and help you out.
Meanwhile you could read this blogpost for the basics.
http://m.imore.com/how-set-exchange-accounts-your-iphone-ipad-or-ipod-touch