Existing literature suggests that there is a relationship between leader–member exchange (LMX) and workplace envy (WE). However, a degree of inconsistency among research results was detected which could be due to overlooking the possible role of organizational stress (OS). Building on social comparison theory and transactional theory of stress and coping, it is proposed that the relationship between LMX and WE is moderated by OS. This study aims to provide additional insight into the mechanisms that develop WE and how it could be managed among Egyptian athletes. Two hypotheses were developed, and data was collected via self-report surveys from a sample of 320 Egyptian athletes. Regression analysis and multi-group moderation analysis were employed to test research hypotheses. Results indicated that LMX is negatively related to WE among Egyptian athletes. Moreover, it was found that OS moderates this relationship in the way that the strength of the relationship between LMX and workplace is significantly stronger among athletes with high perceived OS than among athletes with low perceived OS. Results were discussed and theoretical and managerial applications were presented. Fruitful insights have been communicated to coaches, athletes, and sport managers. Limitations and proposals for future research were suggested.