We examined how a key relationship at work, an employee’s relationship with their leader, affects employee daily well-being. In a study of 129 employees across a variety of industries, we examined how follower perceptions of their daily leader–member exchange (LMX) quality across a workweek influenced their well-being (n = 468 observations). Results provided general support for our hypotheses. Specifically, we found that on days when employees perceived a higher quality LMX relationship with their leader, they were more likely to report a sense of belongingness, which was then positively associated with daily reports of vigor and negatively associated with emotional exhaustion. Lagged analyses showed that perceptions of LMX quality were also negatively associated with reports of emotional exhaustion the following workday suggesting that these effects may persist over time. Finally, we found that day-to-day variation in reports of LMX quality attenuated the beneficial effects of LMX on relatedness and vigor supporting our hypothesis that uncertainty related to resource availability may contribute to a threat mindset focused on resource conservation rather than engagement. Implications and future research on leadership and employee well-being are discussed.