Recently, most organizations, from for-profit organizations to nonprofit organizations, are facing a rapidly changing environment and increased uncertainty. Organizational performance now depends on quickly responding and overcoming change through employees’ innovative behavior. As the importance of innovative behavior has been highlighted, many organizations are looking for effective ways to encourage employees to adopt innovative behavior. From the resource perspective, innovative behavior can be regarded as high-intensity job demand, and organizations should support innovative behavior by providing and managing employees’ resources. Based on the conservation of resource perspective, this study attempted to empirically explore how self-efficacy and perceived organizational support affect the relationship between leader–member exchange (LMX) and innovative behavior. Using two-wave, time-lagged survey data from 337 employees in South Korea, we found that leader–member exchange enhances innovative behavior via the mediation of self-efficacy. Additionally, perceived organizational support positively moderates the relationship between leader–member exchange and self-efficacy. Our findings demonstrate that self-efficacy is a mediating mechanism in the relationship between leader–member exchange and innovative behavior. Furthermore, this study suggests that the higher the level of perceived organizational support, the greater the effect of leader–member exchange on innovative behavior affected by self-efficacy.