This longitudinal study investigated the effects of a mastery motivational climate in physical education (PE) classes on 2×2 achievement goal orientation and dominance, self-regulated learning (SRL), and physical activity (PA) in leisure time. A total of 408 (264 women, 144 men) university students were randomly assigned to two groups: experimental and control. For 12 weeks (24 one-hour sessions), the experimental group received an intervention programme based on TARGET model, which emphasized a mastery climate. The control group carried out the same content but without highlighting such strategies. By means of the structural equation model, true intraindividual change in relation to orientation to 2×2 achievement goals, SRL, and PA in leisure time was analyzed. An increase in different variables within the experimental group was confirmed, these being: (a) the orientation to and dominance of mastery-approach (MAp) goals at the expense of the remaining goals; (b) competences in SRL; and (c) moderate and vigorous levels of PA in their free time. In addition, intraindividual changes in the MAp goals were positively related to intraindividual changes in self-efficacy of learning, which, in turn, positively predicted intraindividual changes in PA, regardless of the group (experimental or control). Thus, the mastery climate increases the percentage of participants with a dominant MAp goal and can effectively help to promote regular habits of PA in free time, by mediation of self-efficacy in SRL.