The purpose of the present study was to test an adapted model of self-regulated learning (Zimmerman, 1989) in the context of higher music education (n = 204). The following four hypotheses were tested: 1) Forethought phase constructs such as goal setting, self-efficacy, and time management were hypothesized to positively predict the use of psychological skills (i.e., self-observation, arousal-regulation, imagery, concentration, and self-control); 2) The use of psychological skills was expected to predict self-reflection phase constructs such as coping and perception of progress; 3) The links from the forethought phase to the reflection phase of the model were predicted to be indirect through psychological skills; 4) Self-reflection phase constructs were expected to positively predict forethought phase constructs. Applying Structural Equation Modeling, hypotheses 1 and 2 were partly supported. Regarding hypothesis 3, goal setting was indirectly positively linked to coping and perception of progress through self-observation and self-control. Self-efficacy was indirectly positively linked to coping through arousal-regulation. A follow-up multiple regression analysis was conducted in regard to hypothesis 4. The self-reflection phase constructs positively predicted forethought phase activities. Moreover, the study verified adaptive cyclical learning in the music students who were self-regulated learners.