Unfortunately because you cannot report on related items, there isn't actually a way to create the report you've described in Workbooks.

It is however possible to use a script which upon save of an opportunity, will find the related sales lead and will update a field on the sales lead to match the status of an opportunity. Therefore on a sales lead record, you'll always have an up to date record of the status of its related opportunity which you can then report on to understand which sales leads resulted into a won opportunity for example.

The script would require development and therefore would be chargeable. If you are interested in progressing this, please just contact support.