Climate leadership is important for the transition to a low‐carbon economy, where some countries are seen as leaders because of their ambitious climate and energy policies. Climate leadership is dynamic and evolves over time to become a political myth, however, which governments use in their policy strategies. Changes in governments lead to new climate and energy strategies that affect the respective countries' leadership positions. This article links the growing literature on environmental/climate leadership and the political myth literature. Specifically, it draws on the environmental/climate leadership framework to analyse the connection between political myths and the climate and energy policy strategies of governments to understand how the changing interpretation of the political myth influences leadership. The article uses Denmark as a case study because of the consensus in the literature on it being a climate and energy policy pioneer. This article analyses how Danish governments interpret the political myth of Danish climate and energy pioneership and how their policies influence the Danish leadership position, concluding that whilst the continued reinterpretations of the political myth of leadership do not always reflect the original myth, the myth remains important for government claims to leadership.