Regulatory focus may shape the manner in which students perceive and respond to learning environments and then further influence their attitudes and behaviors. In the current study, 1487 adolescents in China were surveyed to illuminate the relationship between regulatory focus and learning engagement. The results showed that promotion focus was a positive predictor of learning engagement, whereas prevention focus was a negative predictor. Both academic self-efficacy and depression mediated the relationship between the two foci and learning engagement. Moreover, five regulatory focus profiles identified by adopting a person-centered approach were found to relate to academic self-efficacy, depression, and learning engagement in various ways. Compared with other profiles, the one with high promotion focus and low prevention focus showed higher academic self-efficacy and lower depression and, in turn, demonstrated greater learning engagement, suggesting that such a profile may be the most beneficial for adolescent development.