This article explores the notion of leadership identity construction as it happens through a leadership development programme. Influenced by a conception that leadership development is essentially about facilitating an identity transition, it uses an intersectional approach to explore school leaders' identity construction as it was shaped and influenced by experiences on the leadership development programme. The article draws data from a mixed-methods study that evaluated the impact of the leadership training programme offered to practising school leaders in South Africa. In order to examine the process of leadership identity construction, the article draws from data where identity work was visible. It argues that categories of identity--gender, race and social class--interacted simultaneously with the contexts and backgrounds of participants to shape and influence the outcome of the leadership development programme. This complex intersection enabled unexpected outcomes where women appeared to benefit more from the programme despite their less privileged entry status. The article calls for more work that asks direct questions on leaders' construction of identity in order to inform leadership development programmes more meaningfully.