The present study addresses the gender gap in leadership roles in Mexico through the lens of three leadership constructs. The objective was to compare female and male individual cultural values to explain differences in leadership style and agentic behavior. The sample consisted of 185 graduate students in Baja California, Mexico. Participants were surveyed using the Short Schwartz Value Scale. The responses were analyzed by running independent samples t-tests. The results suggest that males attribute greater importance to Power and Achievement values, which are associated with transformational and transactional leadership constructs. No differences were found across several values associated with other transformational, transactional, and transformative leadership constructs. The implication is that aspiring female leaders should embrace agentic behaviors in pursuit of ambitious goals along with seeking to create democratic and just workplaces. This study is novel because it uses individual cultural values as leadership variables, an approach that is seldom employed, but worth exploring.