Despite ethical leadership is a crucial moral practice for organizations, prior studies reported the negative, non-significant, positive or even inverted u-shaped relationships between ethical leadership and employee unethical behaviors. Few studies have provided a comprehensive framework for explaining why. In this research, we propose three theoretical perspectives (i.e., moral cognition, social exchange, and social identification) to understand the association of ethical leadership with unethical self-serving behavior and unethical pro-organizational behavior. We further compare the relative weights of five mediators underlying each perspective and propose cultural values as boundary conditions. This conceptual model is tested using meta-analytic structural equation modeling (MASEM) from 248 samples (N = 77,309) and relevant meta-analytic correlations reported in previous study. The results reveal that ethical leadership exhibits a double-edged sword effect on unethical behaviors (both self-serving and pro-organizational) via different paths and that ethical leadership is more negatively related to unethical self-serving behavior in cultures of high uncertainty avoidance. Overall, this study contributes to ethical leadership research by deepening the understanding of whether, why and when ethical leadership influences employee unethical behaviors.