Imitation learning has emerged as a powerful paradigm for robot skills learning. However, traditional data collection systems for dexterous manipulation face challenges, including a lack of balance between acquisition efficiency, consistency, and accuracy. To address these issues, we introduce Exo-ViHa, an innovative 3D-printed exoskeleton system that enables users to collect data from a first-person perspective while providing real-time haptic feedback. This system combines a 3D-printed modular structure with a slam camera, a motion capture glove, and a wrist-mounted camera. Various dexterous hands can be installed at the end, enabling it to simultaneously collect the posture of the end effector, hand movements, and visual data. By leveraging the first-person perspective and direct interaction, the exoskeleton enhances the task realism and haptic feedback, improving the consistency between demonstrations and actual robot deployments. In addition, it has cross-platform compatibility with various robotic arms and dexterous hands. Experiments show that the system can significantly improve the success rate and efficiency of data collection for dexterous manipulation tasks.