This study's aim is to examine vocational students' perceptions of self-regulated learning in work-based settings regarding Finnish vocational education and training (VET). We examined the participants' self-reported thoughts and experiences of VET learning and vocational development that were reflected against SRL theory. The interview data (N = 33) included apprentices (n = 15) in work-based and students in school-based VET (n = 18) in the fields of social and healthcare, business and administration, and construction. Overall, the results indicated that learning at work promoted vocational students' cognitive engagement and motivation. The interviews also introduced certain SRL strategies that guided the participants' efforts to learn. In particular, many of the vocational students had taken the initiative to set goals, done strategic planning, and monitored their own performance jointly with their teachers or co-workers. However, the self-reports also revealed some shortcomings in the students' SRL behaviour. The importance and availability of social support and positive feedback from VET teachers and workplace trainers/co-workers to vocational students' learning and self-efficacy were underlined in the self-reports.