The purpose of this study was to examine the relationship between differential achievement goals and self-regulated learning, as well as motivational mechanisms’ consequences for performance in physical education. This was done by using the 2 × 2 achievement goals framework, and the cyclical model for self-regulated learning. The participants (N = 571, 51.7% girls) were physical education students in grades 11–13 from two upper secondary schools in Norway. A cross-sectional questionnaire was conducted, and data were analysed with a multiple-regression-based structural equation model. The modified structural model yielded an adequate fit (X² = [df = 124] 429.79, p < 0.01; RMSEA = 0.07; CFI = 0.93), and results revealed that achievement goals have consequences for students’ self-regulation in physical education. More specifically, mastery goals have a positive association with self-regulation, whereas performance avoidance is found to have a negative association. Further, the results support claims that self-regulated learning plays a role in students’ performance. Finally, the model showed that self-regulation mediates the relationship between mastery approach goals and performance avoidance goals in relation to performance.