Leaders with a strong prevention focus are expected to have risk-averse and rule-bound followers according to the social learning perspective. However, this study draws on affective process theory to develop a model that posits that under certain circumstances, leaders’ prevention focus might backfire and lead to followers’ unethical behavior. The results from multi-wave and multisource surveys suggest that leaders’ prevention focus is positively associated with their anxiety and further their followers’ anxiety through emotional contagion, particularly for followers who have high leader–member exchange (LMX) relationships. Followers’ anxiety will further increase their unethical behavior. Overall, an integrated moderated mediation model demonstrates that the indirect effect of the leader’s prevention focus on followers’ unethical behavior through their anxiety contagion is strongest when followers are closely aligned with their leaders. These findings reveal the important roles of emotions and relationship closeness in the process through which leaders influence followers’ unethical behavior. Theoretical and practical implications are discussed.