This study tested the mediating role of self-directed learning skills (SDL) between students' conceptions of mathematics and their achievement in mathematics using a structural equation model. Data were collected using the "Conceptions of Mathematics Questionnaire" and the "Self-Rating Scale of Self-Directed Learning", together with students' achievement in mathematics. A sample of 440 first year university students at King Saud University participated in the study. The findings confirm the moderating role of students' self-directed learning skills between their conceptions of mathematics and their achievement in mathematics. Students who have a highly fragmented conception of mathematics tended to have low SDL skills, and in turn low mathematics achievement (partial mediation), whereas students who have a highly cohesive conception of mathematics tended to have high self-directed learning skills, and in turn high mathematics achievement (full mediation). Mathematics educators should be aware that students' conceptions of mathematics may be influential, but not sufficient to predict achievement in mathematics. Equipping students with appropriate conceptions of mathematics and self-directed learning skills is key to enhancing their performance in mathematics.