Our goal in this study was to investigate antecedents to formation of leadership self-efficacy (LSE) for men versus women. We used a relative importance analysis, which allows more precise identification of important predictors without concern of multicollinearity effects on R[superscript 2]. Using a sample of 325 business students, we found that extraversion, conscientiousness and openness to experience each explained significant variance in LSE. Conscientiousness and openness to experience were stronger predictors of LSE for women than men, whereas extraversion was a stronger predictor of LSE for men than women. We provide a literature review with hypotheses, methods and analysis. We discuss the results with respect to the role congruency and leadership self-perceptions and provide implications for future research and practice of leadership development.