Yes, Alexander leads his troops personally. He carried the same weapons as his men, a spear, also called xyston, sword and dagger. He probably had a shield, helmet, and breastplate. This is an iron breastplate from a Macedonian royal tomb in Vergina. It was not Alexander’s, but he probably used something like that.
During the Malian campaign, at the siege of the enemy’s citadel, Alexander arranged two separate forces, one to be led by himself and the other by one of his Generals. The defenders retreated into the main citadel, a huge structure with its walls a mile around.
Alexander was able to force one of the gates and made his way into the outer parts of the citadel. There the Macedonians began to undermine the next layer of walls But Alexander quickly became impatient at the pace of the siege. In a sudden movement, he grabbed a ladder and went up to it himself.
He was followed by only two soldiers. The rest of the soldiers, nervous about the safety of their king, crowded the ladders to get up so that they could protect him. There were too many of them, and the ladders collapsed under the weight. The defenders realized who Alexander was, and focused their energies on him. Many of Alexander's men held out their arms and called for him to jump down to them.
The King, however, would not. Alexander leaped into the inner area of the citadel. There, he killed the Mallians' leader. However, an arrow penetrated his lung, and he was severely wounded. The Macedonians believed Alexander dead. After gaining entrance to the city, they planned to kill everyone in revenge.
Alexander survived. Later, he was confronted by some of his close companions. They told him that he should not expose himself so recklessly in battle.