Purpose Silence is a typical negative behaviour exhibited by employees when they are faced with tension and stress and is influenced by a number of factors. Leaders have an important influence on employees’ emotions and behaviour, but the research is not yet clear enough. In this paper, we focus on the research frontier of self-deprecating humour of leaders, aiming to analyse its effect on employee silence and discuss the mechanism of the role of leader-member exchange (LMX) in it, based on social exchange theory. Methods We conducted a regression analysis and bootstrap test for mediating effects based on 2531 data from 151 financial institutions in mainland China. A simple random sampling was taken of the target population to ensure an unbiased sample. Using Harman’s single-factor test to check the data for common method bias. Regression analysis and Bootstrap test were used to analyze the correlation between variables and mediating effect models. Findings (a) Leader self-deprecating humour significantly reduces employee silence and effectively improves the quality of LMX; (b) There is a significant negative relationship between LMX and employee silence; (c) LMX plays a mediating role in the process of self-deprecating humour influencing employee silence and this mediating effect is complete; (d) Affective exchange between leaders and employees appears to be an essential factor in reducing stress from leaders and reducing employee silence. Originality/Value We attempt to open the black box of the mechanism of action between leader self-deprecating humour and employee silence, enrich and expand the application of social exchange theory to negative employee behavior, and provide new theoretical knowledge and empirical evidence from developing countries. Practical Implications The results of the study indicated that self-deprecating humor of leaders can significantly inhibit employee silence through high levels of LMX. Moreover, the mediating role played by LMX was complete. Therefore, organizations should not only focus on the role of leadership humor, but also to achieve mutual respect and trust between leaders and subordinates, and an emotional exchange that goes beyond economic relationships.