Employee engagement has recently been introduced as a concept advantageous to organizations. However, little is known about the value of employee engagement in explaining work performance behaviors compared with similar concepts. The learning climate, defined as the organization’s beneficial activities in helping employees create, acquire, and transfer knowledge, has also been proposed as an antecedent of employee engagement. Using data from a sample of 625 employees and their supervisors in various occupations and organizations throughout Israel, we investigated employee engagement as a key mechanism for explaining the relationship between perceptions of the organization’s learning climate and employees’ proactivity, knowledge sharing, creativity, and adaptivity. We also tested whether employee engagement explained the relationship more thoroughly than similar concepts such as job satisfaction and job involvement. Multilevel regression analyses supported our hypotheses that employee engagement mediates the relationship between the perceived learning climate and these extra‐role behaviors. Moreover, engagement provides a more thorough explanation than job satisfaction or job involvement for these relationships. The implications for organizational theory, research, and practice are discussed. Copyright © 2015 John Wiley & Sons, Ltd.