Workplace loneliness has an adverse effect on both the employees and the organizations. Despite it being a pervasive issue, workplace loneliness has received scant attention in the domain of human resource management. To address the gap, we investigated the antecedent (core self-evaluation) and consequence (emotional exhaustion) of workplace loneliness. Results from 1247 professionals from two different occupational groups revealed that workplace loneliness mediates the relationship between core self-evaluation and emotional exhaustion. In addition, we tested the linkage between loneliness and emotional exhaustion among employees having different levels of leader–member exchange (LMX). Contrary to general belief, we found support to our assertion that the relationship between loneliness and emotional exhaustion is severe for employees having higher levels of LMX, compared to their counterparts having lower levels of LMX. Our study offers important implications for theory and practice.