PurposeThis study examines the relationship between leader–member exchange (LMX) and employee discretionary work behaviors in terms of job crafting, innovative work behavior and knowledge-sharing behavior by focusing on the mediating role of psychological safety.Design/methodology/approachMulti-source and multi-wave data were collected from 284 employees in the banking sector of Pakistan.FindingsThe findings reveal a positive relationship between LMX and psychological safety. Psychological safety, in turn, is positively related to discretionary work behaviors (i.e. job crafting, innovative work behavior and knowledge-sharing behavior). Moreover, psychological safety fully mediates the relationship between LMX and discretionary work behaviors.Originality/valueDrawing upon the conservation of resources (COR) theory, this study introduces psychological safety as a mediating mechanism in the relationship between LMX and three important discretionary work behaviors.