A change device, a fine hole electric discharge machine, and an electrode change method that enable automatic and continuous machining of a large number of holes using electrodes of different diameters. A fine hole electric discharge machine including automatic electrode supply devices and a first change device is provided. The automatic electrode supply device includes an electrode cartridge storing a plurality of electrodes of a predetermined diameter and an electrode feeder device supplying the electrodes one by one from the electrode cartridge. The first change device includes a first magazine accommodating the automatic electrode supply devices in a detachable manner and a first transfer device transferring the automatic electrode supply device between the first magazine and a first chuck on a machining main spindle. The first magazine accommodates a plurality of automatic electrode supply devices storing the electrodes of different diameters.