This paper seeks to advance research on interpersonal exchange relationships between supervisors, subordinates, and coworkers at work by integrating social exchange, workplace friendship, and climate research to develop a multi-level model. We tested the model using hierarchical linear modeling (HLM) with data obtained from a sample of 215 manager-employee dyads working in 36 teams. At the individual level, leader-member exchange (LMX) was found to be related to workplace friendship. Further, workplace friendship was positively related to team-member exchange (TMX) and mediated the LMX-TMX relationship. At the team level, HLM results indicated that the relationship between LMX and workplace friendship was moderated by affective climate. These findings suggest that high-quality LMX relationships are associated with enhanced workplace friendship between employees, especially when the affective climate is strong.