Metacognitive skills and agency are among the main psychological abilities a clinical psychologist should have. This study aimed to assess the efficacy of group psychodynamic counselling as a clinical training device able to enhance metacognitive skills and agency in final-year undergraduates in clinical psychology within an educational context. Thirty-three final-year students of clinical psychology participated in an experiential laboratory lasting two months. Participants completed measures regarding metacognitive skills and agency at pre-, post-treatment, and 3-month follow-up assessment. The results suggested that group psychodynamic counselling made students feel more capable of recognizing emotional states, understanding causal relationships, inferring mental states of others in terms of beliefs, desires, intentions, and expectations, and thinking critically. Furthermore, the group psychodynamic counselling helped students to feel more able to derive pathways to desired goals and to motivate themselves via agency thinking to use those pathways. Thus, the study confirmed the efficacy of group psychodynamic counselling as a clinical training device able to enhance metacognitive skills and agency in future clinical psychologists.