This study aimed at assessing the impact of video modeling examples (VMEs) on secondary school students’ self-regulated learning experiences in gymnastics in original physical education (PE) settings. A total of 56 students (28 males and 28 females), aged 16–17, took part in a seven-week gymnastics learning unit for the purpose of acquiring new motor skills and knowledge using VMEs, in the absence of teacher and peer assistance. Repeated measurements were collected through gymnastics floor routines and a custom-designed written test. Semi-structured interviews were administered to explore students’ self-regulated learning strategies. The analysis of quantitative data revealed significant improvements in males’ skill performance (pre: 4.54 ± 2.42, post: 10.97 ± 3.25 points; p < 0.001) and knowledge (pre: 6.43 ± 2.26, post: 13.19 ± 3.09 points; p < 0.001), as well as females’ skill performance (pre: 2.64 ± 2.09, post: 8.96 ± 4.12 points; p < 0.001) and knowledge (pre: 6.14 ± 2.48, post: 10.97 ± 3.25 points; p < 0.001) after taking part in the practical intervention. Sex-based differences, in favor of the males, were only observed in knowledge outcomes (males: Δ (Δ%) = 6.76 (105.1%), females: Δ (Δ%) = 4.25 (69.2%); p < 0.05). Qualitative data analysis yielded three major learning strategies: repeated viewing and interpretation of VMEs, self-talk and mental rehearsal. In conclusion, VMEs were able to empower the participating students to acquire motor skills and knowledge in PE classes through activating different metacognitive learning strategies, and even without resorting to teacher/peer assistance. Data from this study could prompt PE teachers to incorporate VME-mediated self-regulated learning methods into their teaching practices for better classroom management and for improving their students’ metacognition.