Drawing on the appraisal theory of emotions, we investigate supervisor downward envy from the perspective of subordinates. We theorize that being envied by supervisor can trigger subordinates’ fear of retaliation, which then leads to subordinates’ both approach-oriented and avoidance-oriented behavioral strategies. Moreover, we highlight the moderating role of subordinates’ power distance in affecting their psychological processes at the first stage. By testing our model in a multi-wave field survey within a commercial bank (426 subordinates and matched 74 supervisors), our results indicate that being envied by supervisor sequentially leads to fear of retaliation and approach-oriented strategies, including ingratiation and unethical pro-supervisor behavior. Besides, fear of retaliation also leads to avoidance-oriented strategies, specifically leader-directed avoidance, but not behavioral disengagement. Moreover, we found that subordinates’ power distance conditioned these indirect effects, such that fear is more likely to occur among subordinates high in power distance and experiencing envy from their supervisors. Implications of our findings are discussed.