This paper reports on a qualitative inquiry into Japanese students' self-regulated learning processes to improve their listening proficiency outside the classroom in an English as a foreign language context. Four Japanese university students with different levels of self-efficacy and listening outcomes were closely examined from a social cognitive perspective. The analysis of the data gathered from learning diaries, interviews and other self-reports showed that (1) the students with high self-efficacy were specific, diverse and frequent in their self-regulated processes, while their peers with low self-efficacy were not active in these processes and (2) in particular, a self-efficacious student who made greater listening progress exhibited sophisticated metacognitive strategy use in his entire self-regulated learning process, which was likely to promote effective self-regulatory cycles. These results shed light on the potential interactions between self-regulation, self-efficacy and language gains in the self-instructional learning setting. The implications of these findings for language teachers and learners are discussed.