A thermal hydro-machine on hot gas with recirculation (FIGS. 3, 4 and 5) belongs to the group of multi-cylinder piston rotational machines for converting the heat into the mechanical work. The heat is conducted to on the outer side of one part of rotational tubular heat exchanger (1) and is simultaneously conducted away from the other part of same exchanger (1). The exchanger is composed of a set of independent segment collectors (1) arranged in the form of a cylindrical shell, made pair wise with a set of independent segment cylinders with free pistons (2) in which there is the independent gas under pressure.