While research on peer feedback in second language (L2) writing at university/college level has proliferated, scholars have conducted less research on peer feedback in L2 academic and scholarly writing. Drawing upon multiple sources of data including semi-structured interviews, stimulated recalls, online interviews via WeChat, first and revised drafts of master's theses, peer written feedback, audio-recordings of oral peer feedback conferences and the finalised master's theses, this case study examines how three master's students affectively, behaviourally and cognitively engaged with peer feedback on drafts of their thesis in a Master of Education programme at a Macau university. The findings show that the relationship between sub-constructs within each dimension and the relationships between the three dimensions of student engagement were interconnected in a dynamic and complex way. While there were individual differences among the three students' engagement, their affective engagement could promote or negatively influence their behavioural and cognitive engagement. This study builds our understanding of the multifaceted nature of master's students' engagement with peer feedback. It provides pedagogical implications about how peer feedback can enhance the quality of master's students' academic writing and sheds light on how to guide students to establish scholarly learning communities in higher education.