The purpose of this study was to explore the relationship between student grades and assessment for learning (AfL) in physical education. In educational literature, the focus on formative assessment has grown dramatically, partly because research indicates that good AfL is one of the most effective instructional tools to drive student learning forward. Therefore, a positive influence of AfL on students' grades was hypothesised. The study employed a questionnaire of 1,454 PE students (aged 15-19 years) from six upper secondary schools in Norway. Based on theory and factor analysis, a construct to map the experience with AfL was identified. A regression model was used to analyse the relationship between the construct and students' grades, demonstrating that AfL is negatively associated with student grades. While the main finding is statistically small, the study also discusses the influence of other variables, possible explanations for the results and related implications.