A research model based on the presage-process-product theoretical framework was constructed to explore the relationship between STEM learning self-efficacy, perception of challenging learning environments, goal orientation (learning goal orientation and performance goal orientation), and entrepreneurial self-efficacy in students. Data were collected through a questionnaire survey of 110 STEM students who participated in a university-enterprise collaboration informal STEM education programme. The results, analyzed using partial least-squares structural equation modeling (PLS-SEM), indicated that both STEM learning self-efficacy and the perception of a challenging learning environment significantly positively affected learning and performance goal orientations. Furthermore, STEM learning self-efficacy had a direct positive effect on entrepreneurial self-efficacy. Importantly, learning goal orientation was found to mediate the relationship between the perception of a challenging learning environment and entrepreneurial self-efficacy. These findings highlight the critical role of targeted educational environments and goal-setting orientations in fostering entrepreneurial self-efficacy in STEM students, providing valuable insights for educators and policymakers in higher education.