(1) Background: Acknowledging scant research on integrating mindfulness, empathy, and self-leadership among female university students, this study aimed to investigate the relationships among these three variables, as well as the mediating effect of empathy. (2) Methods: A cross-sectional design was employed with 127 female sophomores in a mindfulness-based liberal arts class at K Women’s University in South Korea. Participants completed a self-reported questionnaire measuring levels of mindfulness, empathy, and self-leadership. Data were analyzed with descriptive statistics and correlations between the variables using the SPSS 28 program. The Jamovi 2.2.5 program was used to analyze the mediating effect of empathy. (3) Results: The levels of mindfulness, empathy, and self-leadership were higher than in previous studies. Mindfulness was positively related to empathy (r = 0.407, p < 0.001) and self-leadership (r = 0.635, p < 0.001); empathy was also positively associated with self-leadership (r = 0.635, p < 0.001). Furthermore, empathy mediated the relationship between mindfulness and self-leadership (β = 0.187, p < 0.001). (4) Conclusions: The findings indicate that mindfulness is helpful in improving university students’ self-leadership by reinforcing their empathy, and that an integrated training program of mindfulness and empathy could produce positive effects on promoting self-leadership. The findings can be utilized as a basis for developing programs to improve mindfulness and empathy, eventually improving students’ self-leadership.