In this chapter, we provide an analysis of the challenges of leadership on climate risk and adaptation in Wales. We have focused on Wales because it is amongst the most innovative nations when making commitments to sustainable development. So, challenges that Wales experiences on leadership are likely to be encountered by other nations later. We also decided to draw attention to challenges for leadership because we believe that this is at least as helpful for lesson learning as success stories which tend to predominate in the leadership literature. Our argument is that much of the literature on sustainability leadership tends to focus on the private sector – what happens in business – and we want to draw attention to what happens in public administration because that too is a major contributor to meeting sustainability challenges. Since we are working on the public sector, we point out that leadership takes place within a governance context, and that, again, insufficient attention has been given to environmental governance when discussing sustainability leadership. So, we show how a more governance-oriented perspective provides a richer context for analysing leadership. We draw on work that we have undertaken over several years to critically examine why climate risk and adaptation have been marginalised in debates on climate change: leadership has been absent. We conclude the chapter by showing how a more reflexive style of governance can be beneficial for sustainability leadership.