I would suggest you to use the structural equation modeling (SEM) which is a combination of factor analysis and path analysis.
Using (SEM), you can also test if there is a significant moderation effect from any of the control variables e.g. Age, Gender,... And more.
I would like to briefly hight light that there are two approaches of SEM, which are called covariance-based structrual equation modeling (CB-SEM) or variance based that so often called partial least square structural equation modeling (PLS-SEM).
Here is a link where you can find a question about using (CB-SEM) or (PLS-SEM) to give you a glance about the two approaches. https://www.researchgate.net/post/Whether_analysis_with_CB-SEM_by_AMOS_will_have_better_results_comparing_with_PLS-SEM
I would recommend you begin with some simpler approaches. Assuming both of your variables (self efficacy and leadership style) are measured on discrete scales, you might consider a contingency table analyzed with the Chi Square statistic. This would tell you if there is a significant relationship and follow ups could tell you the direction. If one of the variables is continuous, a relatively simple approach would be to use regression analysis with ordinary least squares.
Data on ordinal scale (likert scale) with more dependent variables included in model with 1 independent variable is a very specific combination for the analysis. It would require a form of Multivariate Ordinal Regression (stands for multiple dependent variables and ordinal scale).