The aim of this study was to analyse whether the social exchange between temporary agency workers (TAWs) and the client organization is associated with a perception of training. In this study, we developed and tested a moderated mediation model that accounts for TAWs’ exhaustion and desire to obtain a direct contract with the client company in the relationship between the perception of training and affective commitment. Our hypotheses were tested on a sample of 425 blue-collar workers from four Portuguese companies with temporary agency work contracts. Our findings support a conditional indirect relationship between the perception of TAWs that the training provided by the client company facilitates their internal employability and their commitment towards this company via exhaustion for those TAWs who have a low desire to have a direct contract with this company. In addition, our findings show that TAWs do not reciprocally respond to the training that promotes external employability, as this factor is not associated with the affective commitment of these individuals, although exhaustion is associated with this perception. Moreover, we discuss the implications of these findings for the human resource management of TAWs.