Abstract: Leadership exchange has a positive impact on employee innovative behavior, however, the theoretical and practical circles do not fully understand its internal mechanism at present. Based on the theoretical psychological cognition perspectives, the paper conducted two questionnaires on 183 employees at two time points in order to examine the impact mechanism of leadership exchange on employee innovative behavior. The results show that perceived organizational support plays a completely mediating role in the relationship between leadership exchange and perceived insider status; perceived insider status plays a completely mediating role in the relationship between perceived organizational support and employee innovative behavior; perceived organizational support and perceived insider status plays a completely chain mediating role in the relationship between leadership exchange and employee innovative behavior.