The extant literature on the relationship between self‐sacrificial leadership and subordinate behavioral outcomes has primarily focused on the influence of this leadership on subordinate affiliative behaviors. Our research proposed a theoretical model explaining why and when self‐sacrificial leadership might promote taking charge, an exemplar of challenging behaviors. We tested this model across two studies conducted in China. In addition, we also examined the differences in the boundary conditions for self‐sacrificial leadership to influence taking charge and affiliative behaviors (cooperation in Study 1 and helping in Study 2). Our results revealed that (i) self‐sacrificial leadership was positively related to subordinate taking charge, with organizational identification acting as a mediator for this relationship, and (ii) risk aversion moderated both the self‐sacrificial leadership–subordinate taking charge relationship and the mediating effect of organizational identification, such that the relationship and its mediating mechanism were weaker for subordinates high rather than low in risk aversion. These moderating effects, however, could not generalize to cooperation and helping. Finally, the theoretical and practical implications of our results and directions for future research were discussed. Copyright © 2015 John Wiley & Sons, Ltd.