Cognitive self-regulation is regarded as necessary for enhancing academic success and the possibility of lifelong learning. This study, based on 263,683 Italian 10th-grade students, examines the use of self-regulated cognitive strategies in immigrant and native students, as well as in boys and girls. Preliminarily, we examined the psychometric properties and measurement invariance across the groups of the short four-factor scale adopted. Immigrant students report less use of self-regulated cognitive strategies than natives and that this use diminishes from one generation of immigrants to the next. Also boys report lower levels of cognitive self-regulation than girls. On the whole, these findings indicate that male and immigrant students systematically use less self-regulated cognitive strategies in studying. Improvements in their cognitive self-regulation should therefore increase the chances of academic success in these groups of students, which tend to have lower performances at school across the industrialized countries.