Hi Pino,
These three choices are all OK I think:
"I regret the life I led back then."
I long for a life I've never led. (implication is a kind of life)
This life I lead won't get me nowhere. (kind of life)
But lead is quite formal so you can't use a double negative with it. Choice #1 is quite natural. Lead may well imply agency, as you suggest: to lead by the nose, to lead on a merry path. I hesitate about the cat though.
Cheers,
John
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