We investigate the associated production of neutralinos $e^+e^-\to\tilde{\chi}^0_1\tilde{\chi}^0_2$ accompanied by the neutralino leptonic decay $\tilde{\chi}^0_2\to\tilde{\chi}^0_1 \ell^+\ell^-$, taking into account initial beam polarization and production-decay spin correlations in the minimal supersymmetric standard model with general CP phases but without generational mixing in the slepton sector. The stringent constraints from the electron EDM on the CP phases are also included in the discussion. Initial beam polarizations lead to three CP--even distributions and one CP--odd distribution, which can be studied independently of the details of the neutralino decays. We find that the production cross section and the branching fractions of the leptonic neutralino decays are very sensitive to the CP phases. In addition, the production--decay spin correlations lead to several CP--even observables such as lepton invariant mass distribution, and lepton angular distribution, and one interesting T--odd (CP--odd) triple product of the initial electron momentum and two final lepton momenta, the size of which might be large enough to be measured at the high--luminosity future electron--positron collider or can play a complementary role in constraining the CP phases with the EDM constraints.