Prior research has examined self‐leadership as a proactive self‐regulatory approach for the management of stress and anxiety in college students. However, little is known about the possible negative effects of self‐regulatory approaches such as self‐leadership. Using the transactional model of stress and coping and the interaction model of stress, anxiety, and coping as theoretical frameworks, this study investigates a parallel multiple mediation model of the relationship between self‐leadership and state anxiety as mediated by adaptive coping behaviours and maladaptive coping behaviours in a sample of 143 undergraduate students. Results suggest that self‐leadership, paradoxically, is positively related to both adaptive coping behaviours and maladaptive coping behaviours in students. Moreover, the magnitude and significance of the indirect effects of self‐leadership on state anxiety through maladaptive coping behaviours are greater than the indirect effects of self‐leadership through adaptive coping behaviours. This study is therefore the first to identify possible detrimental effects of self‐leadership on individual outcomes, that is, destructive self‐leadership. Implications, both theoretical and practical, are discussed along with limitations and directions for future research.