There is a need to complement strategic policies with discretionary environmentally friendly behaviour to ensure sustainable performance is recognised and accepted. This research investigates the impact of ethical leadership and psychological ownership on employees' voluntary pro-environmental behaviour and whether psychological ownership amplifies the impact of ethical leadership on employees' voluntary pro-environmental behaviour. The study was conducted amongst employees of selected public and commercial organisations in Nigeria. A cross-sectional survey of 163 employees provided the analysed data. Data were collected using a self-administered questionnaire, including three established scales. The mean age of the participants was 36.34, with a 7.88 standard deviation; men were 43.6%. Data analysis was conducted using statistical regression complemented with Process Macro. The findings indicated that ethical leadership has a positive association with voluntary pro-environmental behaviour (β = 0.64, 95% CI [0.46–0.68], t = 10.53, p < 0.001). Furthermore, psychological ownership was also found to predict voluntary pro-environmental behaviour as well (β = 0.23, 95% CI [0.10–0.35], t = 3.56, p < 0.001). However, psychological ownership did not moderate the relationship between ethical leadership and voluntary pro-environmental behaviour. Since this is a pioneer study, it could be tentatively concluded that although ethical leadership and psychological ownership energised the voluntary pro-environmental behaviour of the employees, their interaction did not.