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Based on the theory of social construction and self-consistency, this study aims to investigate the mechanism of relational leadership’s role in employees’ unethical pro-organizational behavior (UPB) from the perspective of moral identity and ethical climate. We found that relational leadership negatively correlates with the instrumental ethical climate, positively correlates with caring ethical climate, and exerts no significant impact on the rule ethical climate. Instrumental ethical climate and caring ethical climate mediate the relationship between relational leadership and employees’ unethical pro-organizational behavior. In addition, moral identity negatively moderates the relationship between instrumental ethical climate and employees’ unethical pro-organizational behavior, and between caring ethical climate and employees’ unethical pro-organizational behavior. Furthermore, moral identity positively moderates the relationship between a rule ethical climate and employees’ unethical, pro-organizational behavior.