The purpose of this paper is to identify the key roles that enable e-leaders to build high-quality exchanges with their team members. We use behavioral complexity theory to analyze the roles played by leaders of virtual teams, and helping them to develop effective leader-member exchanges (LMX). We draw up a research model to explain how e-leaders build cooperative and collaborative relationships through social-related and work-related activities. We then test the research model using a large survey of 193 virtual team members. Our findings show that apart from coordination and monitoring roles, open systems roles, roles of rational pursuit of goals and human relations roles have a positive and significant effect on LMX.