As COVID‐19 was a highly novel virus in 2019, it brought risks that are difficult to quantify and rampant uncertainty to the fore. We focus on how leaders navigate such an uncertain context. Drawing upon appraisal theories of emotions, we first argue that under the context of high uncertainty, leaders experience emotions relating to their perceptions of (un)controllability: anxiety and hope. We predict that these have differential behavioural consequences; leaders' anxiety about the pandemic relates to abusive supervision, whereas leaders' hope relates to family‐supportive supervision. Integrating research on gender roles, we theorize that counter to common stereotypes, men's leadership would be more affected by their emotions. At the same time, women would provide leadership behaviours needed by their followers irrespective of their emotions; namely, refraining from abusive and providing family‐supportive supervision. Our hypotheses were supported using a sample of 137 leader‐follower dyads in the early phases of the pandemic. Our research has significant implications for appraisal theories of emotions by demonstrating that the behaviours of women, compared to men, may be less affected by their emotions. These findings present a significant departure from previous literature by revealing an important boundary condition of appraisal theories of emotions.