Building on social cognitive theory, this study aims to examine the relationship between authentic leadership and ethical behavior and to explore the mediating role of moral efficacy and the moderating role of moral identity. This study tested the theoretical model with 183 supervisor-subordinate matched data through the research design of multi-waves and multi-sources. We used hierarchical regression analysis and moderated path analysis to test our hypotheses. Results showed that authentic leadership was positively related to subordinates’ ethical behavior, and moral efficacy mediated the relationship between authentic leadership and ethical behavior. Further, moderated mediation analyses demonstrated that subordinates’ moral identity moderated the strength of the indirect effect of authentic leadership and ethical behavior via moral efficacy. Accordingly, based on our findings, further theoretical and practical implications, limitations and future research were discussed.