This study investigated to what extent self-efficacy, learning behavior, and performance outcomes relate to each other and how they can be positively influenced by students asking for and seeking feedback within a problem-based learning (PBL) environment in order to meet today's requirements of marketing graduates. An experimental pre-test-post-test nonequivalent group design intervention study was carried out with first-year marketing students. The predicted relation between self-efficacy, learning behavior, and performance outcomes was confirmed. Self-efficacy was found to positively influence performance outcomes, whereas surface learning was found to negatively influence performance outcomes. Regression analysis showed that self-efficacy was a significant predictor of deep learning. Significant increases of self-efficacy and surface learning were found in the group as a whole and in the control group. In the experimental group, deep learning was maintained on an individual level. Critical thinking, problem solving, linking concepts, transfer of knowledge, and metacognitive skills are all essential skills for today's marketing student. To educate students properly in these skills, it is important that influencing variables, such as self-efficacy and learning behavior, are taken into account. Learning environments such as PBL might contribute to enhance self-efficacy and a concomitant deep learning behavior.