Many research studies have been conducted on how the leadership of construction project managers affects safety performance. A number of leadership styles influencing safety performance in construction have been identified, but there is little agreement as to which style should be adopted. For project managers, the transformational–transactional style is one behavioural leadership concept that has had a beneficial effect on safety performance. However, some studies have argued that, because of its structure, this kind of leadership style is not the most suitable in the safety field. These studies observe that leadership in complex environments—wherein the when and how of leadership are essential—requires more than merely practising a form of behaviour. They argue that project managers need to be more flexible when applying their safety leadership behaviours to enhance safety performance. Flexible leadership behaviour requires a holistic leadership perspective, but such a perspective is lacking, making it important to explore this view of leadership in the context of construction safety. One way of promoting a flexible approach to safety leadership behaviour is to view leadership in terms of Systems Thinking. This study examines the relationship between Systems Thinking leadership competencies and the safety leadership behaviours of construction project managers. It also explores the effect that the safety leadership behaviours can have on safety behaviour as an indicator for safety performance. In this study, Systems Thinking comprises three leadership competencies: emotional, social and cognitive. Emotional competency has been defined as “the ability to recognise, understand, and use emotional information about oneself that leads to or causes effective or superior performance”. As for social competency, it has been described as “the ability to recognise, understand, and use emotional information about others that leads to or causes effective or superior performance”. The last of the Systems Thinking competencies, cognitive competency, has been defined as “the ability to think and analyse information and situations that lead to or cause effective or superior performance”. This study examines the relationship of these three components of Systems Thinking to safety leadership behaviours as represented by (1) workforce involvement, (2) relationship management, (3) visibility and leading by example and (4) proactive management. Ultimately, the effect of safety leadership behaviours on safety performance was empirically tested. Safety performance was represented by safety behaviour (participation and compliance), to determine whether Systems Thinking offers a suitable leadership style for project managers. The influence of cognitive capability on emotional and social competencies was also tested. To achieve the study’s purpose, a conceptual model was developed comprising constructs of the three leadership competencies along with the four leadership behaviours as well as safety behaviour. These constructs were linked by eight hypotheses that were established according to theoretical relationships. To validate the conceptual model, a quantitative research method was adopted in this study. To test and refine the conceptual model, a series of multivariate statistical approaches was employed for the data, which were collected from 180 project managers and employees who played the same safety-related roles as project managers in the construction industry in Saudi Arabia. The series began using exploratory factor analysis and confirmatory factor analysis, which were performed to reveal robust model structures. Then, regression analysis was applied to test the developed hypotheses. The analyses demonstrated that emotional, social and cognitive competencies positively and directly influence safety performance. Regarding the mediating role of safety leadership behaviour, the analysis showed only two leadership behaviours moderating the relationship between emotional competency and safety performance, namely, workforce involvement, and visibility and leading by example. As for the hypothesised relationship between social competency and safety performance, all four leadership behaviours arbitrated this relationship when safety performance was represented by safety compliance, except for visibility and leading by example. Additionally, the relationship between cognitive competency and safety performance was mediated by three leadership behaviours, namely, workforce involvement, visibility and leading by example, and proactive management. The influence of cognitive competency on emotional and social competencies proved to be positive. Finally, structural equation modelling (SEM) was used to refine and confirm the findings of the regression analysis. The SEM analysis confirmed that emotional competency has a direct and an indirect influence on safety behaviour as a result of safety leadership behaviour. In addition, it established that social competency has only an indirect effect on safety behaviour under the influence of safety leadership behaviour; likewise, cognitive competency has only an indirect effect on emotional and social competencies. While the direct and indirect influences of cognitive competency, as well as the direct effect of social competency, on safety behaviour were not confirmed, the influence of cognitive competency on emotional and social competency was confirmed. In summary, the current research study provides a deeper understanding of the implications of leadership competencies for safety leadership behaviour and safety performance in the Saudi construction industry. It also provides a framework that enables safety managers to flexibly guide and lead their followers. These findings and implications will facilitate the improvement of construction safety through making a number of recommendations to expand the knowledge of leadership in the context of safety.