In this article, we report on the findings of an exploratory study into the experience of undergraduate students as they learn new mathematical models. Qualitative and quantitative data based around the students' approaches to learning new mathematical models were collected. The data revealed that students actively adopt three approaches to understanding a new mathematical model: gathering information for the task of understanding the model, practising with and using the model, and finding interrelationships between elements of the model. We found that the students appreciate mathematical models that have a real world application and that this can be used to engage students in higher level learning approaches.