Both managers have much in common as they are from the west of Scotland and honed their coaching skills in the country before heading south.
As he prepares his Bolton team to face Wigan on Saturday in the FA Cup fourth round, former St Johnstone boss Coyle reflected on his Carling Cup semi-final heartache when he was in charge of Burnley. In an epic second-leg clash at Turf Moor two years ago, they were in sight of a famous victory against Tottenham, only to lose in the dying moments of the game.
Burnley had cancelled out a 4-1 deficit to take the tie into extra-time but Roman Pavlyuchenko and Jermain Defoe destroyed their dreams with late goals. Coyle is now intent on following McLeish - who managed Motherwell, Hibs, Rangers and Scotland before arriving at St Andrews - to Wembley, knowing there is still much work to be done .
Coyle said: "I have been very close to the feeling Alex had with Burnley in the semi-finals of the Carling Cup. We were two minutes from going through. I would love to have a cup run. I loved it as a coach a player and now as a manager.
"For me the FA Cup is the best cup competition in world football. You want to get as far as you can in it. I know if my group get to their best we are capable of an extended run. That's what we have to do. If we beat Wigan we are through to the 16 and who knows what happens from there."