AbstractMost research on knowledge sharing has examined the construct as an individual difference variable and neglected that it may vary within an individual over a short period of time. Moreover, although researchers have recognized the critical role of leaders in knowledge management practice, scant attention is given to the day‐to‐day dynamics of the relationship between leader behaviours and employee knowledge sharing. Taking a dynamic perspective on knowledge sharing and based on affective events theory, we argue that daily managerial coaching positively affects employees' daily knowledge sharing via the mediating role of daily gratitude. In addition, employees' perceived overqualification would moderate the relation between daily managerial coaching and daily gratitude such that daily managerial coaching would elicit a stronger daily gratitude for employees with lower perceived overqualification. A 10‐working day quantitative diary survey of 122 R&D employees from a large state‐owned enterprise supported our whole theoretical model. The implications of our findings for both theory and practice were discussed.