Using data from the Russian Longitudinal Monitoring Study -- Higher School of Economics (RLMS), we estimate the relationship between the sense of control, measured as the belief that one has control over one's important future life circumstances and job-related training for women and men in a transitional context. We test the theory of alternative resources and the critical approaches in the analysis of the role of gender in individual outcomes from training. We show that while job-related training is associated with higher sense of control (measured using Pearlin Mastery Scale), its effect varies by gender and therefore, its absolute value is limited. We conclude that job-related training exacerbates the existing differences in the sense of control between women and men in Russia, which can potentially have prolonged, negative effects on the wider outcomes of women in the labour market.