This study examines the associations of servant leadership and entrepreneurial leadership with innovative behavior in the context of the public sector. Furthermore, it was verified whether the relationships are mediated by psychological empowerment and engagement, respectively. The core of the hypothesis is that these leadership styles help employees to be more engaged, psychologically empowered and innovative. To test the hypotheses, partial least squares structural equation modeling was applied with data from a sample of 135 public servants from the Courts of Auditors from 14 Brazilian states, obtained through an electronic questionnaire. To estimate and remove the common method bias, a marker variable technique is used. The results demonstrate that the effects of servant leadership on innovative behavior are fully mediated by psychological empowerment. Furthermore, the results show that entrepreneurial leadership has a direct and positive association with innovative behavior, so that these effects are partially mediated by engagement. The study contributes to the understanding of the effects of servant and entrepreneurial leadership, as well as individual attributes, in fostering innovation in the public sector. Finally, contributions to management theory and practice are discussed.