This study examined the relationship between ethical leadership and multidimensional organizational citizenship behaviors (OCBs), specifically organization-targeted OCBs (OCBO) and individual-targeted OCBs (OCBI). In addition, the study examined the multiple mediating effects of self-efficacy, respect, and leader–member exchange (LMX) on the relationship between ethical leadership and OCBO, as well as the relationship between ethical leadership and OCBI. Through the application of a hierarchical linear model, an analysis of the results from 656 dyadic supervisor–subordinate data from 145 business units in Taiwan showed that both respect and LMX significantly mediated the ethical leadership–OCBO and leadership–OCBI relationships. The implications of these results for theory and practice and directions for future research are also discussed.