This book chapter provides an overview of the key challenges and opportunities for ethical leadership and goal setting for sustainable innovation projects. The task of gathering information to reduce uncertainty during innovation processes and to wisely allocate resources is challenging. The challenges presented are enriched by illustrative quotes from cross-sectoral practice. In addition, the chapter links theory on ethical leadership to theory on sustainable innovation. This link helps to clarify how leaders might overcome challenges. Two-way communication is argued to be especially important. The chapter concludes with stating the balances that need to be considered by leaders during the pursuit of innovation for sustainability.