This study investigated how leader–member exchange (LMX), goal setting, and feedback are related to employee engagement in learning activities. Two different mechanisms were proposed: a mediating mechanism holding that LMX elicits specific leader behaviours (i.e., goal setting and feedback) which would mediate the LMX-learning relationship, and a moderating mechanism, holding that LMX would strengthen the effect of these leader behaviours. A sample of 1,112 employees from 7 organizations completed questionnaires that measured LMX, goal specificity, feedback, and self-reports of employee engagement in learning activities. The 233 direct leaders of these employees completed questionnaires that measured goal difficulty and leader ratings of employee engagement in learning activities. Multi-level analysis showed that goal difficulty and goal specificity mediated the relationship between LMX and employee engagement in learning activities, and that LMX moderated the relationship of goal difficulty with employee engagement in learning activities. With these findings, the present study contributes to the literatures on LMX, goal setting, and employee development.