Online education has made it possible to implement the "classes suspended but learning continues" policy during the COVID-19 outbreak. However, the intangible sense of the online educational setting requires self-directed learning (SDL) and may force students to know the goals of learning that may impact their engagement. To understand the effect, based on situated expectancy-value theory, this study considered SDL as attitude and approach and constructed a research model to explore the mediating power of perceived value of knowing learning goals (PVKLG) related to participants' online learning engagement during the COVID-19 lockdown. Data were collected from 497 higher education students in China. After the confirmatory factor analysis with structural equation modeling, the results reported that SDL attitude and approach positively predicted learning engagement mediated by PVKLG. The results suggest that only when students have a high level of PVKLG will they be able to regulate their learning process through the two types of SDL and enhance their engagement in online learning contexts during the COVID-19 lockdown.