This study explores the relationship between approaches to learning and self-regulation of learning. Approaches to learning characterise students' intentions and strategies regarding learning and studying, divided into deep and surface approaches together with organised studying. Self-regulation of learning is a process of monitoring and directing one's affect and behaviour in learning. It is known that self-regulation correlates with approaches to learning, but the direction of influence has not been demonstrated empirically. Measurements were taken in a first-year mathematics course on 103 Finnish undergraduates. Cross-lagged panel analysis was used to study the direction of time-lagged influence. The results revealed that significant influence existed from self-regulation to deep approach and organised studying, and from lack of regulation and external regulation to surface approach. Based on the results, we conclude that it is important for researchers and practitioners to take self-regulation into consideration when measuring approaches to learning or designing interventions.