Edit: Sorry for the lack of clarity. When I say lead, I mean like to be present on the battlefield like Washington was during the Whiskey rebellion. I'm open to other close encounters with the enemy though.
Although Lincoln didn't "lead" Union troops into an engagement in the classic sense, he was present and within Confederate rifle-range during the Battle of Fort Stevens in July 1864.
Background: Grant had largely emptied the defenses of Washington City (modern-day D.C.) when he moved against Lee during the Wilderness campaign of 1864. The idea was that Lee would need every soldier he had to repel the march towards Richmond, so there was no use leaving many troops behind to defend the capitol. This theory was put to the test when Lee sent Gen. Jubal Early on a glorified raid of Washington (Early had about 10,000 men). It was a gamble, but Lee correctly surmised that Grant had left little behind to guard Washington, and if the troops experienced a break-thru there, it would thin the Union ranks facing Lee in Virginia (or if really lucky, sack Washington).
Early's forces got within sight of the Capitol, and engaged a rag-tag collection of Union clerks, wounded, and other just-barely-soldiers still in the city in the early phase of the engagement. The hottest action took place in front of Fort Stevens, where Lincoln actually went to get a personal look at the action. This wasn't as risky as it probably sounds, though. By the time Lincoln showed up at Fort Stevens, the Union's VI Corps had arrived (as dispatched by Grant), and any hope the Rebels had at actually taking the city, even briefly, vanished. Still, being in Fort Stevens wasn't without its risks, and according to Lincoln's personal secretary, John Hay, a bullet hit just feet away from where Lincoln was standing during the battle. A story has it that a Union officer (possibly Oliver Wendall Holmes, though that point is up for debate and is likely apocryphal) yelled at Lincoln to take cover, which is funny since Lincoln out-ranked EVERYONE on the field that day, so telling the guy in charge what to do might seem odd under different circumstances. Lincoln apparently thought it was funny, but complied.
What is without dispute is that Lincoln did indeed visit Fort Stevens while it was under attack, and that he was "under fire" during a hostile engagement while serving as President of the United States. He's the only sitting president who could claim this distinction, so that's something!
[Sources: Doris Kearns Goodwin, 'Team of Rivals'; Bruce Catton, 'A Stillness at Appomattox"]
Do you mean as sitting President had directed a battle or just been present at one or just that they in general had led men in battle? The answer understably is different for each.