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This paper investigates the problem of leader-following consensus of a linear multi-agent system on a switching network. The input of each agent is subject to saturation. Low gain feedback based distributed consensus protocols are developed. It is established that, under the assumptions that each agent is asymptotically null controllable with bounded controls and that the network is connected or jointly connected, semi-global leader-following consensus of the multi-agent system can be achieved. Numerical examples are presented to illustrate this result.