How do engineering students approach mathematical modelling problems and how can they learn to deal with such problems? In the context of a course in mathematical modelling and problem solving, and using a qualitative case study approach, we found that the students had little prior experience of mathematical modelling. They were also inexperienced problem solvers, unaware of the importance of understanding the problem and exploring alternatives, and impeded by inappropriate beliefs, attitudes and expectations. Important impacts of the course belong to the metacognitive domain. The nature of the problems, the supervision and the follow-up lectures were emphasised as contributing to the impacts of the course, where students show major development. We discuss these empirical results in relation to a framework for mathematical thinking and the notion of cognitive apprenticeship. Based on the results, we argue that this kind of teaching should be considered in the education of all engineers.