The Saddlers head to Scunthorpe tomorrow looking to make it back-to-back wins in League One following their opening-day victory over Plymouth.
While deserved overall, Walsall had to dig deep to pick up three points last weekend with the Pilgrims finishing the game strong.
And Leahy believes it is a new winning mentality – something that’s been fostered by Keates – that helped them get over the line.
“I think last year we’d have conceded and ended up drawing the Plymouth game 2-2,” said Leahy who netted the winner in that match with a stunning free-kick.
“It’s the mindset of everyone. We have a winning mentality, even in training there is stuff you have to do if you lose, there are punishments – you don’t want to lose. The gaffer has brought in a winning mentality and it showed against Plymouth – we put bodies on the line.
“Jon Guthrie had a bloody nose, Kieron (Morris) went down injured. Everyone put everything they had into it. And that’s all he asks from us. To give everything.
“In training, the five and six-a-sides are really intense. The gaffer wants us to win at everything.”
While Keates is eager to grow a winning mentality at the club, he warned it will take time. “It’s very early days,” the boss said. “It’s just little things that have been tweaked but it’s something the staff and I drive home throughout the week.
“There are punishments with everything. If they lose in training, the losing team has to put all the equipment away. It’s just little bits like that. Psychologically, I want to get into their head. I want them to want to win at everything they do.
“Monday to Friday, against each other, I want them t have a winning mentality. I want there to be a winning mentality all around the football club.”
Captain Adam Chambers is likely to miss out with a foot injury, meaning Isaiah Osbourne could come straight into the team.
Scunthorpe opened the campaign by securing victory at Coventry last weekend.
The Iron fell behind to a Tony Andreu strike, but Stephen Humphrys pulled them level before Andy Dales netted a late winner.
“Scunthorpe is going to be a tough game,” Keates added.
“Coventry had momentum from winning promotion last season. To go 1-0 down and turn it round, it shows what kind of team they will be. But we are going to go there and give ourselves the best possible chance of getting three points. We will try and play on the front foot, like we did for long spells against Plymouth.”