The paper presents the results of an empirical study of the dynamics of self-regulation indicators of first-year psychology students in the process of studying the course “Psychology of self-regulation.” The study aims to clarify how the indicators of self-regulation ability of first-year psychology students change during the study of a semester course, “Psychology of self-regulation” (from late February to early June 2021), and to find out how the correlations between individual parameters of self-regulation alter. Research results of students (which are made at the beginning and the end of the study of the course) are described and compared according to theoretical, empirical (psychodiagnostic), and statistical methods. The following indicators of self-regulation are studied: self-control in the emotional sphere, self-control in activity, self-control in behavior (social self-control), and a few coping ways (confrontational coping, search for social support, problem-solving planning, self-control, distancing, positive reassessment, acceptance of responsibility, escape-avoidance), as well as alexithymia. It was found that (at the beginning of the study) psychology students had mostly the average level of all studied indicators, except for the coping way “escape-avoidance” (which was at a high level) and a level of alexithymia (a little higher). After studying the course “Psychology of self-regulation,” which took place during one semester along with the study of other psychological courses, changes in the studied indicators were revealed: the indicators of self-control and confrontational coping increased; the level of escape-avoidance decreased. Correlation analysis was performed between all scales of the first and second surveys.