The first purpose of this study was to develop and test the factor structure of a multidimensional Coaching Leadership Self-Efficacy Scale (CLSES). A second purpose was to validate the CLSES through an inspection of its relation to the Coach Competence Scale (CCS). The CLSES was developed to capture important coaching leadership efficacies in five different areas where leaders must perform in their roles as leaders. Coach competencies were measured by a five dimensional validated version of the CCS. Confirmatory factor analyses supported both a first- and second-order model of the CLSES constituting the five dimensions of coaching leadership efficacies: 1) Work facilitator; 2) Supervising growth and development; 3) Creating relationship with customers; 4) Constructive communication; and 5) Creating relationship with employees. Moreover, the CLSES was positively related to the CCS. The present study extends the literature on leadership efficacy in relation to coaching behaviour. The results of the study are discussed together with limitations and suggestions for further research.