Education aims to enable students not only to acquire knowledge but also to become capable and enthusiastic lifelong learners. Prior research has found that learning is more likely to be effective where a student plays a proactive role in the learning process. Such a proactive process, including learning on students' own initiative and strategies, is often described as "self-regulated learning" (SRL). The present study aims at investigating SRL in Hong Kong students as compared with students in other countries that participated in the first cycle of PISA (Programme for International Students Assessment) study. Using Hierarchical Linear modeling, the study also investigates the relationships between SRL and academic performance of 15-year-old students in Hong Kong. The findings suggest that most of the SRL constructs are positively related to academic achievement in reading, mathematics, and science domains in Hong Kong students. Particularly, the results show that control strategies and self-efficacy appears to be the two most important learning strategies associated with performance in all three domains; but instrumental motivation and memorization have negative associations with mathematical and scientific literacy performances. Although most of the SRL indices are found to have positive relation with academic achievement, it is interesting to find that Hong Kong students use SRL strategies far less frequently than do students in other countries in PISA except competitive strategies. If educating students to self-regulate their own learning and to become intrinsically motivated to learn is crucial for the Hong Kong educational reform, further studies should be conducted to find out how learning environment in Hong Kong can be adjusted to help students obtain this goal.