Employees can be proactive in establishing good working relationships with their managers to enhance their own effectiveness. We propose that an important way that they can do so is by engaging in behaviors we refer to as “Managing Your Boss” (MYB) that involve employees taking the initiative to understand their managers’ goals, needs, and working styles and adapt their job priorities and actions accordingly. We integrate theories on proactivity and followership to lay the conceptual foundation for the study of MYB. We underscore the conceptual distinctiveness of MYB from related constructs. Moreover, we propose that MYB can help employees improve their performance by enabling them to develop high quality leader‐member exchanges (LMX) and argue that these effects are amplified in unstructured work environments where jobs are not standardized or when managers fail to provide adequate task structure. Using 1313 working adults across a set of four studies and seven samples, we develop a validated measure of MYB, establish its nomological network, and demonstrate support for key elements of our theoretical model. We discuss the implications of our findings for research and practice.