We set out to understand how role-making works and what roles employees and leaders play in this process. Employees often make changes to their work roles, such as by negotiating their job responsibilities and seeking challenging tasks. In this study, we suggest that role-making behaviours influence and are influenced by the dyadic relationship between leaders and employees, otherwise known as leader–member exchange (LMX). We collected three waves of survey data from a sample of Chinese employees who were recent college graduates (n = 203). The results from cross-lagged panel analyses showed that (1) LMX and job-change negotiation were reciprocally related to each other and (2) initial LMX was associated with increased challenge-seeking behaviours, although these behaviours did not lead to greater LMX later on. In addition, we found evidence that when employees experienced a high level of emotional ambivalence (a conflicting, mixed and complex emotional state), the direct and reciprocal relationships between LMX and role-making behaviours were weakened. Our findings advance the understanding of the development of leader–employee relationships in the workplace and have implications for strengthening employee perceptions of high-quality relationships with their leaders by making changes to their workplace roles.