The outperformance of Chinese students in large-scale international assessments has increasingly attracted the attention of researchers. This study explored the relationship between an important student factor, self-regulated learning (SRL), and Hong Kong students' reading performance on Programme of International Student Assessment (PISA). Using data from PISA 2009, this study found that Hong Kong students obtained an overall strong performance on the PISA 2009 reading assessment. They were relatively good at reflecting and evaluating and reading continuous texts. Compared with the OECD average, Hong Kong students showed better reading engagement and perceived a more positive classroom disciplinary climate in their reading lessons, but they used fewer control strategies, had poorer awareness of effective reading strategies, and perceived a lower degree of teacher stimulation and scaffolding. Reading enjoyment and control strategies were the most important SRL components facilitating Hong Kong students' reading performance, after controlling for other background variables in multilevel analysis. Possible cultural and contextual factors affecting Hong Kong students' SRL and reading performance, and their relationship are discussed to shed light for understanding the paradox of Chinese learners and improving the instructional practices in Chinese classes.