The objective of this paper is to efficiently perform the reliability assessment of shell and tube heat exchangers. Although inexpensive empirical/analytical heat exchanger models exist and could be used for brute force Monte-Carlo simulations (MCS) based reliability analysis, they typically do not characterize the shell side flow accurately. Hence, higher fidelity models are often needed for predicting the shell and tube heat exchanger performance with a desired level of accuracy. These higher fidelity models are generally associated with higher computational costs, making them impractical for MCS-based reliability analysis. To circumvent this problem, a multi-fidelity technique leveraging the lower and higher fidelity models is proposed to locally construct the failure boundaries using support vector machines (SVM). For this purpose, an adaptive sampling scheme, which explores the regions of inconsistency between failure boundaries from lower and higher fidelity models, is developed.