Envy is a frequent emotion in work contexts where there is strong competition for resources and the leader is the person who manages them. When employees feel envy, they are likely to use counterproductive work behaviors (CWB), but the use of these behaviors may differ depending on the organization’s ownership. The goal of this study is to develop and test a model for the moderating role of Leader Member Exchange (LMX) in the relationship between envy and CWB in public and private organizations. The study design was cross-sectional. Data were collected from 225 Spanish employees in public and private organizations and analyzed using Path Analysis techniques. Results showed that envy was positively related to CWB, and that LMX was a significant moderator in the relationship between envy and CWB in public organizations, but not in private ones. However, this relationship is positive with high LMX, but less than in subjects with low LMX. Findings provide empirical support for the hypothesized conceptual model. This study is one of the first to explore LMX as a moderator of the relationship between envy and CWB. Thus, this study adds value to previous social exchange studies on LMX by integrating emotion research into the context of an exchange-based relationship. Our findings lead to several practical implications for creating healthy organizations.