Many studies point to the relevance of school leaders’ self-efficacy for the successful organisation and management of schools. However, to date, there are only a few findings on which factors have a positive influence on this characteristic. This study therefore examines the extent to which the use of formal and informal learning opportunities, in addition to the antecedents mentioned by Bandura (mastery experience, vicarious experience, social persuasion, physiological and emotional states), have a direct positive effect on school leaders’ innovation-related self-efficacy, as well as an indirect effect on self-efficacy mediated by mastery experience. Analyses of a survey with a representative sample of N = 405 school leaders in Germany using structural equation models confirmed the effect of mastery experience (i.e. perceived achievement), vicarious experience (i.e. encouragement from a team), and emotional states (i.e. exhaustion) on school leaders’ self-efficacy. Regarding professional development, the analyses revealed a direct positive effect of participation in university training and professional learning networks, which were not mediated by mastery experience. Our results demonstrate the value of leadership preparation programmes that enable the participants to explore different work-related tasks and promote feelings of mastery, as well as the importance of team coherency and potential value of distributed work.