In this study, we propose a multi-level theoretical model to examine the influence of ethical leadership on employee job performance (both service performance and service-oriented organizational citizen behavior). We test our model based upon 214 pairs of questionnaires obtained from 22 branches of a large commercial bank in Taichung. We identify ethical leadership as the primary source to influence employee job performance through the underlying mediating mechanism of supervisor-subordinate guanxi (i.e., long-term interpersonal relationship). We further identify supervisor-subordinate guanxi differentiation as a group contextual factor with a negative moderating effect on the relationship between supervisor-subordinate guanxi and employee job performance. We discuss the theoretical and practical implications of our findings in the context of service-oriented organizations.