Employees' innovative work behavior (IWB) is one of the key factors in improving organizational competitiveness. Previous studies show that challenge and hindrance stress can impact employees' IWB, but our understanding of the exact mechanism underlying the impact is still limited. The present study employed four scales (Challenge and Hindrance Stress Scale, Thriving at Work Scale, Chinese Emotional Exhaustion Scale, and Employee Innovative Behavior Scale) to collect questionnaire data from 789 employees in diverse organizations via an online platform. A two-path mediation model was constructed. The results show that: (a) challenge stress positively predicted thriving at work and IWB; (b) thriving at work played a partial mediation effect between challenge stress and IWB; (c) hindrance stress negatively predicted thriving at work and positively predicted emotional exhaustion; and (d) hindrance stress did not directly impact IWB while thriving at work and emotional exhaustion were main mediators in the relationship between hindrance stress and IWB. These findings suggest that employees should sensibly cope with different work stresses, while managers should plan work tasks scientifically and give employees adequate opportunities to learn and rest in order to keep them in a positive state to solve problems and work creatively.