Set within B. J. Zimmerman’s (1989, A social cognitive view of self-regulated academic learning, Journal of Educational Psychology, Vol. 81, pp. 329–339; and B. J. Zimmerman, 2000, Attaining self-regulation: A social-cognitive perspective, in M. Boekaerts, P. Pintrich, & M. Seidner, Eds., Self-Regulation: Theory, Research, and Applications, pp. 13–39, Orlando, Florida, Academic Press) cyclical model of self-regulation and social–cognitive theory, this study tested the hypothesis that multi-modal psychological skills training (PST) would increase self-regulation behavior, self-efficacy, and psychological skill use in military pilot-trainees experiencing course-related learning difficulties. From pre- to post-intervention, findings showed that specific self-regulation behavior increased linearly. Likewise, significant increases in self-efficacy and psychological skill use occurred, along with concomitant reductions in anxiety and worry. Changes were generally retained at 2-month follow-up. PST highlights potential in modifying pilot-trainee cognitive and behavioral strategies to underpin learning, improve individual/cohort responsiveness, and importantly, cost effectiveness in training provision.