Background: Lecturers give feedback on assessed work in the hope that students will take it on board and use it to help regulate their learning for the next assessment. However, little is known about how students' conceptions of feedback relate to students' self-regulated learning and self-efficacy beliefs and academic performance. Aims: This study explores student beliefs about the role and purpose of feedback and the relationship of those beliefs to self-reported self-regulation and self-efficacy, and achievement. Sample: A total of 278 university students in a general education course on learning theory and approaches in a research-intensive university. Methods: Self-reported survey responses for students' conceptions of feedback (SCoF), self-regulation (SRL), academic self-efficacy (ASE), and Grade Point Average (GPA) were evaluated first with confirmatory factor analysis and then interlinked in a structural equation model. Results and conclusions: Three SCoF factors predicted SRL and/or GPA. The SCoF factor "I use feedback" had positive associations with SRL (ß = 0.44), GPA (ß = 0.45), and ASE (ß = 0.15). The SCoF factors "tutor/marker comments" and "peers help" both had negative relations to GPA (ß = -0.41 and -0.16, respectively). "Peers help" had a positive connection to SRL (ß = 0.21). ASE itself made a small contribution to overall GPA (ß = 0.16), while SRL had no statistically significant relation to GPA. The model indicates the centrality of believing that feedback exists to guide next steps in learning and thus contributes to SRL, ASE, and increased GPA.