Purpose: This study examines the direct and indirect effects of distributed leadership on teacher self-efficacy in multicultural classrooms (TSMC) through school capacity building, specifically teacher team innovativeness and a feedback network. Research Design: Using data from the Teaching and Learning International Survey 2018, this study employs a 2-2-1 multilevel structural equation modeling to account for the nested data structure (teachers nested within schools). Latent variables are constructed, and their validity is tested, followed by an analysis of the relationships among distributed leadership, teacher team innovativeness, a feedback network, and TSMC. Findings: This study finds that distributed leadership has an indirect-only mediation effect on TSMC via a feedback network but not via teacher team innovativeness. The effect of distributed leadership on TSMC is fully mediated by a feedback network. In addition, the study shows that distributed leadership is positively associated with a feedback network and teacher team innovativeness. Conclusions: This study contributes to our understanding of the role of distributed leadership in fostering school capacity building and promoting TSMC. Given the increasing diversity in schools, it is crucial for school leaders to prepare teachers to teach students in multicultural classrooms. The findings suggest that school leaders can enhance teachers’ efficacy in teaching students from diverse backgrounds by facilitating their participation in school improvement processes and establishing a collective feedback network where teachers receive feedback from various sources. These results emphasize the importance of distributed leadership in equipping teachers for culturally responsive teaching in multicultural classrooms.