Stronger metacognitive regulation skills and higher self-efficacy are linked to increased academic achievement. Metacognition and self-efficacy have primarily been studied using retrospective methods, but these methods limit access to students' in-the-moment metacognition and self-efficacy. We investigated first-year life science students' metacognition and self-efficacy while they solved challenging problems, and asked: (1) What metacognitive regulation skills are evident when first-year life science students solve problems on their own? and (2) What aspects of learning self-efficacy do first-year life science students reveal when they solve problems on their own? Think-aloud interviews were conducted with 52 first-year life science students across three institutions and analyzed using content analysis. Our results reveal that while first-year life science students plan, monitor, and evaluate when solving challenging problems, they monitor in a myriad of ways. One aspect of self-efficacy, which we call self-coaching, helped students move past the discomfort of monitoring a lack of understanding so they could take action. These verbalizations suggest ways we can encourage students to couple their metacognitive skills and self-efficacy to persist when faced with challenging problems. Based on our findings, we offer recommendations for helping first-year life science students develop and strengthen their metacognition to achieve improved problem-solving performance.