In a field study we examined employees' fairness perceptions of supervisor feedback and their relationships with employee well-being (job depression, job anxiety, job satisfaction, turnover intentions) and perceived control at work. We hypothesized quality of leader�–�member exchange (LMX) to partially mediate these relationships. We measured the above constructs in two different industries at two separate times over an interval of 6 months. Results from hierarchical regression analyses based on data from 99 employees supported our hypotheses. Perceived fairness of feedback was positively related to job satisfaction and feelings of control at work, and negatively related to job depression and turnover intentions. These relationships were mediated by the quality of LMX. Job anxiety was neither related to fairness perceptions of feedback nor to LMX, but positively related to frequency of negative feedback from the supervisor. Our research contributes to both, the feedback and leadership fairness literature, in connecting fairness of leader feedback to LMX and important work-related outcomes.