A disproportionate share of men holds leadership positions in Mexico. Relatively new studies on gender and leadership self- efficacy conducted under transformational leadership models have started to challenge the idea that gender moderates leader effectiveness. This study was developed to analyze differences in leadership self-efficacy between 80 female and 73 male MBA students in the city of Tijuana, Baja California, Mexico. The results contributed to the growing number of studies on leadership self-efficacy conducted under transformational leadership models that support the claim that gender does not moderate leader effectiveness.