Which of these films starring Leonardo DiCaprio did Martin Scorsese direct?

The film is called "Gangs of New York".

"Gangs of New York" is a 2002 American fictionalized epic period drama film set in the mid-19th century in the Five Points district of New York City. The movie was directed by Martin Scorsese and written by Jay Cocks, Steven Zaillian, and Kenneth Lonergan. By the way, the film was inspired by Herbert Asbury's nonfiction book, "The Gangs of New York", written in 1928. It was made in Cinecittà, Rome, distributed by Miramax Films and nominated for numerous awards, including the Academy Award for Best Picture.

More interesting information about the film:

Two issues of the era in New York were Irish immigration to the city and the Civil War. The story follows gang leader Bill "The Butcher" Cutting (Daniel Day-Lewis) in his roles as crime boss and political kingmaker under the helm of "Boss" Tweed (Jim Broadbent). The film culminates in a violent confrontation between Cutting and his mob with the protagonist Amsterdam Vallon (Leonardo DiCaprio) and his immigrant allies, which coincides with the New York Draft Riots of 1863.