Unsafe acts contribute dominantly to construction accidents, and increasing safety behavior is essential to reduce accidents. Previous research conceptualized safety behavior as an interaction between proximal individual differences (safety knowledge and safety motivation) and distal contextual factors (leadership and safety climate). However, relatively little empirical research has examined this conceptualization in the construction sector. Given the cultural background of the sample, this study makes a slight modification to the conceptualization and views transformational leadership as an antecedent of safety climate. Accordingly, this study establishes a multiple mediator model showing the mechanisms through which transformational leadership translates into safety behavior. The multiple mediator model is estimated by the structural equation modeling (SEM) technique, using individual questionnaire responses from a random sample of construction personnel based in Hong Kong. As hypothesized, transformational leadership has a significant impact on safety climate which is mediated by safety-specific leader–member exchange (LMX), and safety climate in turn impacts safety behavior through safety knowledge. The results suggest that future safety climate interventions should be more effective if supervisors exhibit transformational leadership, encourage construction personnel to voice safety concerns without fear of retaliation, and repeatedly remind them about safety on the job.