WASHINGTON, Feb. 29 - No one should have been shocked when a trusted pilot for Brothers to the Rescue, the anti-Castro organization whose planes were shot down last week, showed up on Cuban television denouncing the group as a tool of the Central Intelligence Agency.
    Cuba's spy service has infiltrated the exile groups of Miami for more than 30 years, compromising and sometimes controlling their work.  The chief of operations of one of the most militant groups secretly reported to Fidel Castro for a decade.  Dozens of Cubans recruited by the CIA during the cold war were double agents in the pay of Havana and Moscow.  Some may still be.
    Cuba might be a poor, politically isolated island whose people scrape by on rice, beans and slogans.  But its spy service is "one of the most sophisticated, agile and effective" in the world, in the words of Juan Armando Montes, a retired United States Army special-forces colonel.  It is a particularly sharp thorn in the side of the CIA, which has been bedeviled and bamboozled by Mr. Castro, his agents and double agents ever since the Bay of the Pigs fiasco in 1961 - an operation fatally compromised by infiltrators.
    Hundreds of spies from Cuba's Direccion General de Inteligencia, the D.G.I, live and work in the United States, according to former members of the Cuban service who have defected.  They operate as diplomats and cab drivers, dealers of guns and drugs and information.  They thrive in embassies - a sizable contingent of the Cuban delegation to the United Nations do cloak-and-dagger work, United States officials say - and in the bars and restaurants of the Little Havana section of Miami.
    Among their ranks, United States officials believe, was Juan Pablo Roque, the dashing pilot who defected - or rather, re-defected - to Cuba from the ranks of Brothers to the Rescue.
    "One has to assume that he is a Cuban agent," Under Secretary of State Peter Tarnoff said of Mr. Roque.  He was also an informer for the Federal Bureau of Investigation, which paid him $6,720 for inside information on Cuban exiles.  In this classic double agent scheme, Cuban intelligence used Mr. Roque to manipulate the F.B.I, to try to gain insight into the bureau's operations and to undermine the exile groups.  Incidentally, the CIA flatly denies any present-day ties to the members of Brothers to the Rescue.
    Mr. Roque is far from the first member of a Cuban exile group to suddenly reveal his links to Havana.  The Cuban intelligence service, which reports to Defense Minister Raul Castro, Fidel's brother, has infiltrated the exile groups and United States Government agencies with notable success.
    Take the case of Jose Rafael Fernandez Brenes, who jumped ship from a Cuba merchant vessel in 1988 and quickly landed a Federal job.  From 1988 to 1991, he helped set up and run TV Marti, the United States Government-financed station that beams anti-Castro information and propaganda at Cuba.  The Cuba Government jammed TV Marti's signal the moment it went to the air in March 1990 - thanks in no small part to the frequencies and technical data supplied by Mr. Fernandez Brenes.
    Then there was Francisco Avila Azcuy, who ran operations for Alpha 66, one of the most violent anti-Castro exile groups, all the while reporting secretly to the FBI and Cuban intelligence.  Mr. Avila planned a 1981 raid on Cuba, telling both the FBI and the D.G.I. all about it.  His information helped convict seven members of Alpha 66 for violating the Neutrality Act by planning an attack on a foreign nation from United States soil.  He also informed on the personal lives and tastes of 40 top anti-Castro leaders.
    The most disturbing news about Cuban spies came from Maj. Florentino Aspillaga, a D.G.I. officer who defected to the United States in 1987.  He contended that most, if not all, of the Cuban agents recruited by the CIA from the mid-1960's onward were doubles - pretending to be loyal to the United States while working in secret for Havana.  Four years later, CIA analysts and counterintelligence officers glumly concluded the major was telling the truth.
    This meant not only that much of what the agency knew about Cuba was wrong, but also that a great deal of what Cuba knew about the CIA was right.
    The agency long ago cut its ties to most of the Cuban exiles in Miami.  But the legacy of the Bay of Pigs, when the agency sent thousands of Cubans off in a doomed plot to overthrow Mr. Castro, lives on in the exile groups still trying to finish that mission.