Many consider Messier to be the greatest captain in hockey history. The six-time Stanley Cup winner wore the C for Edmonton and the New York Rangers to become the only player in history to captain two teams to an NHL championship. He is also a former captain of the Vancouver Canucks.
Messier will be at Madison Square Garden on Tuesday to present the first winner with the award.
Messier, with input from the league, will select a player in each month who best exemplifies leadership qualities on and off the ice.
There will also be a leader of the year award given at the end of the regular season.