Taking a self‐categorisation perspective, we predict that managerial coaching affects subordinates' workplace well‐being through perceived insider status and that Chinese traditionality moderates this indirect effect. To test these hypotheses, we designed a three‐stage research method to collect data from 276 subordinates in a large state‐owned enterprise located in Shanghai, China. Results indicated that (a) managerial coaching was positively related to subordinates' workplace well‐being; (b) perceived insider status mediated the linkage between managerial coaching and subordinates' workplace well‐being; and (c) Chinese traditionality moderated the indirect relationship between managerial coaching and subordinates' workplace well‐being via perceived insider status, such that the indirect effect was stronger for subordinates with low rather than high Chinese traditionality. This study sheds new light on the intervening process (i.e., perceived insider status) that explains how managerial coaching influences subordinates' workplace well‐being. The findings also extend the current literature by adding a substantive moderator (i.e., Chinese traditionality) to explain when and why subordinates increase their well‐being when faced with managerial coaching.