This study examined the direct relationship with leader-member exchange and employee affective commitment, in turn further investigated the internal mechanisms. Based on social exchange theory and role theory, this study built the integration model of the influence of leader-member exchange on employee affective commitment under the psychological process of work engagement and self-efficacy from the employees' cognitive perspective. A sample of 351 employees with two-stage collection was tested. Results indicated that (1) leader-member exchange positively related to affective commitment, (2) work engagement has partial mediating effect of leader-member exchange on affective commitment, (3) self-efficacy has partial mediating effect of leader-member exchange on affective commitment.