The topic of emotions in the workplace especially emotional labor is beginning to garner closer attention by researchers and theorists in recent years. Emotional labor is the process of regulating both feelings and expressions for organizational goals. Following Hochschild’s seminal work, a number of researchers have since studied the effects of emotional labor on workers, with mixed findings. On the basis of previous relevant researches and literatures of emotional labor, the purpose of this study is to explore: (1) the relationship between emotional labor and emotional exhaustion; (2) the relationship between emotional labor and depression/ anxiety; (3) the mediation role of emotional exhaustion between emotional labor and depression/ anxiety specially. ELS, MBI and SCL-90 were applied and 328 employees in retailing participated in this study. The data was processed and analyzed by SPSS16.0 for window. Correlation analysis shows that: (1) deep acting, which is one dimension of the emotional labor, is significantly negatively related to emotional exhaustion (r=-0.215, p<0.01) and may predict emotional exhaustion. Employees use deep acting more frequently in their work to reduce their exhaustion. (2) Deep acting is significantly negatively related to depression (r=-0.159, p<0.05) and anxiety (r=-0.161, p<0.05), it may predict depression and anxiety. Deep acting can alleviate depression and anxiety of employees. The result of regression analysis indicates that emotional exhaustion acts as a mediator between emotional labor and depression/ anxiety. In regression analysis, Deep acting influenced emotional exhaustion (beta=-0.242, p<0.01), depression (beta=-0.159, p<0.05) and anxiety (beta=-0.106, p<0.05) at the first and second step. When exhaustion entered at the third step at which point deep acting became nonsjgnificant indicating a mediation effect. Overall, the results show that surface acting has no significant correlation with exhaustion, depression or anxiety; deep acting is significantly and negatively predictable to emotional exhaustion, depression and anxiety. Emotional exhaustion plays mediator role between emotional labor and depression/ anxiety. Conservation of Resources Theory holds that mental resources are limited; over use mental resource can lead to emotional exhaustion and influence psychological health. From this point of view, several issues are noticeable in the present studies. First, deep acting is a distinct and useful strategy, which can provide mental resource thereby diminish emotional exhaustion, depression and anxiety of employees. So it seems organizations should train their employees to use more deep acting in their work. However, mental resources from deep acting are limited, organizations should provide other approaches to let their employees obtain mental resources, such as create supportive work atmosphere thereby reduce the mental depletion during their emotional labor.