Purpose: Efficacy has been broadly analyzed and explored in depth in various fields. However, in the field of educational leadership, empirical studies and research evidence are weak. The purpose of this paper is to develop and validate a new School Leaders' Self-Efficacy Scale (SLSES). Design/methodology/approach: Two studies were undertaken. In the first study, the extant literature was critiqued and an initial form of the SLSES was developed; it was then administered to 233 school leaders in Cyprus. Exploratory factor analysis (EFA) was employed to identify the structure of the scale. The second study aimed at validating the proposed model by employing confirmatory factor analysis. For this purpose, a revised SLSES was administered for a second time to 289 school leaders. Findings: EFA suggested an eight-factor structure, namely: "Creating an appropriate organizational structure," "Leading and managing the learning organization," "School Self-Evaluation for School Improvement," "Developing a positive climate and managing conflicts," "Evaluating classroom practices," "Adhering to community and policy demands," "Monitoring learning," and "Leadership of Continuing Professional Development." Confirmatory model fit indices, factor pattern and structure coefficients, and reliability analyses provided robust evidence for the construct validity of the SLSES. Originality/value: The paper describes the construction and validation of a new scale measuring school leaders' self-efficacy. The SLSES provides practitioners and researchers with a promising tool, with implications for measuring the outcomes of the professional development of school leaders and for school improvement studies.