This article explores how the idea of tragedy can highlight some of the complex and paradoxical aspects of the relationship between ethics and leadership. First, it offers a comparative analysis of the way in which questions of leadership are addressed as a practical and theoretical concern when leaders are confronted with situations of moral crisis. The context is provided by a critical reading of the MBA oath, a student-led pledge that tries to establish a higher moral standard for leaders, and by Norman Bowie’s attempt to develop a Kantian theory of leadership. Second, it introduces a novel philosophical approach based upon Hegel’s interpretation of tragedy and ethical life developed in his theory of aesthetics. Through the idea of tragedy, the concept of ethical leadership could also encompass those ambiguous situations when good conflicts with good and when a possible reconciliation of a moral conflict might require the sacrifice of otherwise legitimate ends.