The relationship between exhaustion and work engagement has received considerable attention during the past decades. Although the theoretical proposition exists that work engagement may increase exhaustion over time, previous research has been mixed. Drawing on the transactional stress model and applying latent growth modeling, we aim to provide a more comprehensive picture of the work engagement–exhaustion relationship over time. In two longitudinal studies, with four measurement points each, we found consistent evidence that a higher initial work engagement related to increased exhaustion over time. Consistent with our hypotheses, a higher initial work engagement also related to less initial exhaustion, and increases in work engagement related to decreases in exhaustion over time. However, contrary to our expectations, a higher initial exhaustion related to elevated work engagement over time. In conclusion, our findings suggest that engaged employees are less exhausted but face a higher risk of exhaustion over time. At the same time, exhausted employees are less engaged, but they have the potential to become more so over time. The theoretical and practical implications of these findings will be discussed in this paper.