Presenting and using the method of surrogate data with BDS statistics, the research detects the presence of nonlinearity of RMB/USD exchange rate (1994～2007). Comparing the difference between the original data and 39 sets of surrogate data generated from the original under a series of the null hypotheses, the null hypotheses are rejected in 95%. RMB/USD exchange rate time series is not completely stochastic and contains deterministic nonlinear components. Under the above null hypotheses, the significant and positive values of BDS statistics are increasing as the embedding dimension rises, which means that RMB/USD exchange rate has obvious nonlinear correlation structure rather than independent and identically distributed.