Online laboratories are widely used in higher engineering education and due to the COVID-19 pandemic, they have taken on an even greater relevance. At Tecnologico de Monterrey, Mexico, well-established techniques such as Problem-Based Learning (PBL), Project-Oriented Learning (POL) and Research-Based Learning (RBL) have been implemented over the years, and over the past year, have been successfully incorporated into the students' learning process within online and remote laboratories. Nevertheless, these learning techniques do not include an element which is crucial in today's industrialized world: Industry 4.0 competencies. Therefore, this work aims to describe a pedagogical approach in which the development of Industry based competencies complements the aforementioned learning techniques. The use and creation of virtual environments and products is merged with the understanding of fundamental engineering concepts. Further, a measurement of the students' perceived self-efficacy related to this pedagogical approach is carried out, focusing on the physiological states and mastery experiences of the students. An analysis of its results is presented as well as a discussion on these findings, coupled with the perspectives from different key stakeholders on the importance of the educational institutions' involvement in developing Industry 4.0 competencies in engineering students. Finally, comments regarding additional factors which play a role in the educational process, but were not studied at this time, as well as additional areas of interest are given.