You can exchange your money at any bank. If you wish to visit the bank you will need to take your passport. Bank staff in Kenya are not the most helpful people and most of the time do their upmost to be difficult, so you can find that it may take some time to change your money.

Try and avoid the banks at 9am when they open unless you are there at 8.50am to stand in the que with the locals, then it is a mad rush for the counters. Also try and avoid 12-2pm as this is the time locals take their lunch and que's are long at this time of day also. The banks do shut at 3pm Monday to Friday. Saturday they are open 9am-11am.

Most of the High St. banks have atm's but yet again try and avoid 12-2 time. Don't leave getting that extra money out of your account on a Friday afternoon or on a Saturday morning, as you find that most atm's will have been emptied of all their cash, and you will be left without money. Get any money that you need to keep you going over a week end on a Thursday.

Also note that banks can be very busy and there can be LONG queues at ATMs at the end of the month when teachers and other civil servants etc are paid. This includes the first days of the next month.

 Take care when using the atm's and the banks. Remember you are in a very poor country and being a tourist most locals will assume that you are very rich regardless of the fact that you may have saved up 50 weeks of the year for this 2 week holiday.

There are security  and police in the bank and at the atm machines, but after that you are on your own so just be careful. Tuck your money away or get a taxi to the bank, have him wait and then drive straight to your hotel and keep your money locked in your safe.  

 FOREX BUERO  there are all over Forex Buero here you are not charged any Commison or Bank charges, also here you can try to negotiate the rate in case you change a bigger amount.

The best rates you get at the LEO Forex at the Nkrumah Road, in the TSS Building

If you are bringing US currency, check your bills to make sure that the bills were printed after 2000.  Several banks offered substantially lower exchange rates for $100 bills printed before 2000.