Classroom justice is an important topic in educational psychology. Classroom justice refers to the perceptions of fairness regarding outcomes or processes that occur in the instructional context. Previous studies indicated that when students perceive that teachers are not concerned with justice, they are likely to engage in resistance or verbal aggressiveness, enact revenge, or communicate in a deceptive manner. However, when students perceive that their instructors do engage in classroom justice, they report that they are motivated and affectively engaged. In addition, past research on the school experience of justice has shown that the sense of being treated by one’s own teachers fairly is associated with students’ competence and motivation, positive attitudes towards institutions and authorities, and group cooperation skills. Moreover, in adolescence the feeling of being treated in a respectful manner contributes to the perception of being a valued group member, it promotes a sense of belonging, and reinforces the personal obligations to behave in compliance with the collective rules. On the contrary, the feeling of injustice in class leads to negative outcomes, such as a decline in learning motivation and a psychological disengagement from school life. Yet, although prior work on classroom justice has been fruitful in highlighting the effects of justice to students, scholars have not focused on how classroom justice influences the students’ learning engagement and its mechanisms. In order to investigate the relationship between classroom justice and learning engagement, as well as its underlying mechanism, a sample of 621 high school students were participated for the study. They were required to complete a battery of questionnaires, including Classroom Justice Questionnaire, Teacher-Student Exchange Relationship Questionnaire, the Learning Self-efficacy Questionnaire as well as the Learning Engagement Questionnaire. The results indicated: (1) The correlations between classroom justice, teacher-student exchange relationship, learning self-efficacy and learning engagement were significantly positive. Moreover, classroom justice significantly predicted teacher-student exchange relationship, learning self-efficacy and learning engagement; (2) The effect of classroom justice on students’ learning engagement was explained by three indirect paths: the simple mediating role of teacher-student exchange relationship, learning self-efficacy, respectively, and the serial mediating role of both teacher-student exchange relationship and learning self-efficacy. In sum, these findings highlight the complex mechanism underlying the relationship between classroom justice and learning engagement. Classroom justice predicts high school students’ learning engagement through mediating roles of teacher-student exchange relationship and learning self-efficacy. Individuals with classroom justice would maintain good teacher-student exchange relationship and strong learning self-efficacy, and finally have higher level of learning engagement. It may contribute to our better understanding of how classroom justice influences learning engagement from the teacher-students exchange theory and social cognitive theory.