In the digital era, an innovative capability is viewed as core to the competitiveness of a firm. Firms can increase their innovative capability by taking advantage of individual innovative behavior. Thus, it is crucial to find out which individual and/or contextual factors promote individual innovative behavior at work. In response to promoting individual innovative behavior innovation, perceived entrepreneurial orientation of firms, perceived innovative climate, digital maturity and self-leadership may motivate individuals to engage in innovative behavior in the workplace. Therefore, this research seeks to gain a better understanding of how perceived entrepreneurial orientation of firms, perceived innovative climate, digital maturity, and self-leadership influence individual innovative behavior in the banking sector. A questionnaire survey was conducted and 125 valid replies were received. The results of this study indicate that employees working in the banking industry, which have a high digital maturity, are more likely to engage in innovative behavior when firms support entrepreneurial orientated strategies, an innovative climate, and when employees adopt self-leadership skills.