The concept of self-leadership is known and accepted, but still under-researched. By considering the reflexive work involved in the process of self-leadership, we seek to understand what factors are relevant for managers to be effective in a sustainable and productive way. We ask how managers engage in self-leadership. Empirically, we find that self-leadership is a process that can be translated into the capability of handling and sustaining four dualities: challenge and routine; self and others; nonwork and work; mind and body.