Sagawa and Ueda established a fluctuation theorem of information exchange by revealing the role of correlations in stochastic thermodynamics and unified the non-equilibrium thermodynamics of measurement and feedback control. They considered a process where a non-equilibrium system exchanges information with other degrees of freedom such as an observer or a feedback controller. They proved the fluctuation theorem of information exchange under the assumption that the state of the other degrees of freedom that exchange information with the system does not change over time while the states of the system evolve in time. Here we relax this constraint and prove that the same form of the fluctuation theorem holds even if both subsystems co-evolve during information exchange processes. This result may extend the applicability of the fluctuation theorem of information exchange to a broader class of non-equilibrium processes, such as a dynamic coupling in biological systems, where subsystems that exchange information interact with each other.