Millennials are currently taking over the global workforce. While practitioners and scholars have recognized their different work values from previous generations, research on this topic is still scarce. Furthermore, the current leadership theories have tended to focus mainly on the characteristics of leaders without adequately examining the leadership styles that work best for the millennials. Using a literature review from the top tier leadership journals, this paper aims to provide a more comprehensive framework to provide new directions for the development of leadership theory by  understanding the millennials? perspective on leadership. This study thus contributes to the current literatures by using five thematic leadership groups to develop the most optimum leadership style for leading the Millennials. The advantages and disadvantages of using neo-charismatics, leadership and information processing, social exchange/relational leadership, ethical/moral leadership, and e-leadership theories in leading millennials are assessed. Results show that no single leadership theory is adequate for leading the millennials optimally. Hence, mixing the dimensions of different leadership theory groups is suggested. As for the leadership theory aspects, it is recommended to scholars to consider developing more flexible leadership theory models that can accommodate different generational groups.