Political parties in the United States do not have any one official leader. In addition, the person who is generally seen as the leader of the party can change over time. That said, Henry Clay was one of the main leaders of the Whig Party. However, he never was their nominee in a presidential election. Clay was their leader in the sense that he was the main architect of their legislative agenda. However, Clay was a member of the Whig Party during 4 presidential elections. In each case, the party chose another nominee.
Clay was, then, clearly an important leader of the Whigs. The link below says that he was, at least at one point, the "unchallenged leader of his party." However, his control over the party was not sufficient to get him nominated for president, so we can question the degree to which he was really the leader of the party.