In 1928, an annual exchange between Carey and King’s College Adelaide began, promoting sportsmanship alongside religious activities. This exchange went beyond the typical focus on competition found in most boys' school sports associations, reflecting the shared values both schools aimed to instill.

King’s College, established in 1924 as a partnership between the Congregational Church and the South Australian Baptist Union, hosted the first exchange in 1928. Joseph Haslam, the headmaster at the time, selected an unusual combination of football, tennis, and debating events. Although he passed away shortly after extending the first invitation, his successor, James Bills, continued the tradition due to his prior connections with Carey.

In August 1928, Harold Steele accompanied Carey's top footballers, tennis players, and debaters to Adelaide by train. A joint King’s-Carey service was held at the Flinders Street Baptist Church, beginning a tradition where the schools would visit each other every second year.

However, in 1968, Carey declined King’s request for longer visits and fewer sports competitions, prompting King’s College to end the exchange. This unique relationship with a like-minded school was difficult to replace. In 1974, King’s College merged with Girton Girls’ School to form Pembroke School.