The negative impacts of grades on students’ approach to learning and well-being have renewed the interest in gradeless learning in higher education, with the current literature focusing on the positive outcomes for students, including the advancement of student learning, reduced stress, increased motivation, and enhanced performance. While the idea of freeing students from the weight of grades sounds promising, grades are so integral to the educational system that the effects of learning without grades may not provide the relief intended. In this article, we present a qualitative case study of how business and management students experienced having gradeless learning in their first year of an undergraduate program. Our data show that students felt true ambivalence about learning without grades. Although gradeless learning was associated with less pressure, higher motivation, and a more collaborative approach to learning, it also engendered feelings of identity loss and uncertainty among students about their own performance and future opportunities. Our study contributes to previous studies on the impact of grades by revealing the ambivalence experienced by students when learning without the well-known metric of grades in a performance culture. Moreover, it provides new empirical insights into how business and management students experience gradeless learning.