Research in educational psychology and sport psychology indicates that school achievement depends on students' capacity to self-regulate their own learning processes. The purpose of this study was to investigate the self-regulation components employed by students in a natural physical education setting. Twenty-three French students, 14 and 15 years old, were videotaped during their regular physical education class as their teachers taught them a new skill. The students then watched a recording of their performance and provided the researcher with a verbal description of their cognitive activity during the lesson. Verbal data were then analyzed using both qualitative and quantitative techniques. The data revealed that the students employed a 17-component self-regulation model while learning a new skill in the natural physical education context. Three teaching models that emerged for eliciting the identified self-regulation components among students are also discussed.