Based on the theory of emotional contagion, we used multilevel linear analysis to explore whether or not the psychological mechanism through which coaching leadership promotes voice behavior was follower psychological capital. Data were collected from supervisor–subordinate dyads of 57 supervisors and 328 employees. Results showed that coaching leadership was positively related to employee voice behavior, and moreover, that follower psychological capital mediated the relationship between coaching leadership and employee voice behavior. Our research findings enrich the theory and practice of coaching leadership.