Previous research has typically conceptualized physical activity as a recovery activity after work that promotes well-being by allowing employees to detach from work and replenish their resources. Here, we aimed to go beyond this framework by proposing a new theoretical model of how physical activity in the morning before work affects employee well-being. Drawing upon the transactional theory of stress, we theorized that physical activity before work shapes employees' appraisal of their upcoming workday which, in turn, affects their well-being. In a preregistered study (N = 269), we utilized a within-person daily experience sampling approach to test our model. Results showed that two types of appraisals are particularly important for explaining the effects of physical activity before work on employee well-being: First, challenge appraisal mediated the effects of physical activity before work on work engagement. Second, we found an indirect effect via threat appraisal of physical activity before work on job-related anxiety. Exploratorily, we found that threat appraisal also mediated the effect of physical activity before work on emotional exhaustion. In conclusion, our results show that physical activity before work is beneficially related to several types of well-being outcomes by increasing challenge appraisal and decreasing threat appraisal. Furthermore, our study advances theoretical understanding on physical activity and work stress by shedding light on the mechanisms underlying the effect of physical activity on employee well-being and showing that physical activity before work benefits well-being by shaping how employees appraise their work situation on a day-to-day basis. (PsycInfo Database Record (c) 2023 APA, all rights reserved).