Frontline managers have many responsibilities and often suffer from emotional exhaustion. Drawing on the job demands–resources model, this research proposes and examines a cognitive–affective dual mediation model to explain how frontline managers’ sense of power affects their emotional exhaustion through managerial self-efficacy (cognitive path) and affective commitment (affective path). A cross-sectional study design was employed, and the theoretical model was tested using a three-wave survey among 227 on-the-job Master of Business Administration (MBA) students (52.86% male) in China, who serve as frontline managers in different kinds of organization. The regression and bootstrapping analysis results showed that the frontline managers’ sense of power was significantly negatively related to emotional exhaustion. In other words, the more powerful they felt, the less exhausted they felt. Furthermore, having a sense of power enhanced managerial self-efficacy, which mitigated emotional exhaustion. Sense of power also boosted frontline managers’ affective commitment, alleviating emotional exhaustion. We conclude with a discussion of this study’s theoretical and practical contributions and future research directions.