Leadership style impacts on the manner and frequency of feedback transmission. However, communication challenges between superiors and subordinates originate from cultural differences, which undermine the usefulness of feedback. The study tested leadership style's effect on self-efficacy through a moderated mediation approach, examined through the lens of the cross-cultural adaptation theory. Path analysis conducted on data from 281 foreign teachers in Chengdu, China, revealed that there is a positive effect of Chinese supervisors' leadership styles on foreign teacher's self-efficacy. Leadership style similarly has an influence on the nature of feedback. And the nature of feedback in turn mediates leadership style and self-efficacy. We establish in particular that transactional and transformational leadership styles, through the nature of feedback, influence self-efficacy of foreign teachers. Moreover, the association between the nature of feedback and self-efficacy is moderated by the perceived value of feedback. Employees' perceptions are also found to be crucial in determining the value of feedback. It is thus imperative for supervisors and managers working with foreigners as subordinates to figure out when and how to provide valuable feedback. We conclude with suggested areas for further research.