In many studies, school leaders’ self-efficacy has been shown to be relevant for the successful development of schools, as well as indirectly for student learning. The current study examines the extent to which leaders’ self-efficacy prior to the COVID-19 crisis affected their schools’ innovative coping during the first pandemic-related school closure in 2020. To explore this, we used quantitative data from a repeated measurement survey of a representative sample of 493 school leaders in Germany, here with two measurement time points before and during the school closure phase. The results of structural equation analyses indicate that school leaders’ self-efficacy had a significant impact on both the width and depth of the innovations introduced at schools during the crisis. Other control variables, such as school leaders’ leadership experience or school size, showed no significant effects. This emphasises the importance of school leaders’ self-efficacy experiences for crisis management and leadership. Implications for school leadership training and support, as well as for further research, are discussed.