Given the importance of voice in ethical leadership theory, we analyze the relationship of ethical leadership to employee voice and the relationship of voice to exit intentions. Building on the theory of work engagement, we further hypothesize that cognitive engagement mediates these proposed relationships. To test these propositions, we conduct a field study to relate ethical leadership of supervisors, measured at time 1, to employees' cognitive job engagement, measured at time 2. The analyses show that the relationship between these variables can account for supervisory ethical leadership's association with employee voice and exit intentions. In a supplementary study using a different sample, we find that supervisory ethical leadership is related to exit intentions through voice. We discuss how these findings contribute to the literature on ethical leadership, employee voice, and exit.