The Queen's Exchange was first published in 1657, in a quarto issued by the bookseller Henry Brome. (Henry Brome was reportedly no relation to the dramatist; he joined with Andrew Crooke to issue the Brome collection Five New Plays in 1659.) The play was reprinted in 1661 under the title The Royal Exchange.
The quarto's title page states that the play was acted by the King's Men at the Blackfriars Theatre. The date of that first production is uncertain; but Brome is known to have written for the King's Men in the earliest phase of his career, in the late 1620s and early 1630s. The play is often conjecturally dated to 1629–31. The play's most recent editor, Marian O'Connor, offers persuasive reasons for doubting the attribution to the King's Men, and for dating the play to around 1634.
Brome was not a tragedian; of his sixteen extant plays, thirteen are contemporary comedies, usually set in London and assignable to the category of city comedy. Only three of Brome's plays are tragicomedies; in addition to The Queen's Exchange, they are The Queen and Concubine and The Lovesick Court. It can be argued that Brome lacked a natural gift for the tragicomic form – one critic referred to "Brome's three feeble tragicomedies." Two of his three works in the genre, The Queen's Exchange and The Queen and Concubine, share the plot element of the king betraying his queen with a social inferior.
Brome is universally recognised as more derivative than original in his plays (as is true of Caroline drama generally). His comedies rely heavily on the precedents of Ben Jonson and the city comedy of Thomas Middleton, Thomas Dekker and others. In tragicomedy, his influences are different: "The Queen's Exchange is much more reminiscent of Shakespeare than any other of Brome's plays," with links to King Lear and Macbeth. The play also shows apparent or possible borrowings from works by Philip Massinger and John Ford; it has been described as a "virtual pastiche" of earlier works in the tragicomic form.
In Act II, scene i of The Queen's Exchange, the character Theodrick states that "I have known women oft marry one another." It is a surprising line in the context of the prevailing morality of the seventeenth century – though other Brome plays, notably A Mad Couple Well-Match'd and The Antipodes, contain similar allusions to lesbianism. Brome appears to have been more aware of the phenomenon, or more interested in it, than most playwrights of his era.