This study aimed to evaluate a program in which an outdoor training methodology was applied to develop self-efficacy and self-esteem. Specifically, the study aimed to determine the change in psychological variables, such as general self-efficacy and self-esteem, in a large sample of university students undertaking social sciences and participating in this program. A multivariate analysis was conducted on a group of 123 individuals to determine the composition of each variable and examine the moderating effect of the outdoor training program. Changes in the scores of these variables measured before and after implementing the program, in which different outdoor activities were carried out, are presented. The experiential training program positively affected general self-efficacy and self-esteem. Finally, the importance of this program, wherein an innovative outdoor training methodology has been applied to improve motivation, academic success, well-being, health, and adjustment of students in the university environment, is discussed.