The contribution of Physical Education (PE) and School Sport to learning of values has been identified by teachers and researchers. However, we know little about how that teaching takes place during classes. This study aimed to understand the perceptions of teachers on teaching values in their classes and to analyse the conception of values that have guided their professional intervention. To do this, a qualitative study was conducted with a sample of three teachers, using class observations and interviews with the teachers as research tools. For all these teachers, teaching values is a central goal of PE classes; for two of the teachers, it is the main goal. Because of this conviction, their pedagogies prioritize the teaching of moral values over others that can be taught in PE. A belief in the possibility of teaching values in the classroom is part of the habitus of the PE teacher; it can sometimes be characterized as an illusio. For these reasons, teachers can set unrealistic expectations, disregarding their own limitations as well as the conflicts and complexity involved in the construction of value systems.