While most participants benefit from action-oriented entrepreneurship training, such programs can paradoxically also have negative effects. Training programs in which participants actively engage in entrepreneurship involve facing problems that might be too difficult to overcome, potentially decreasing trainees' entrepreneurial self-efficacy. Based on theories of self-regulation, we argue that error mastery orientation is a factor that explains under which condition problems do or do not lead to decreases in entrepreneurial self-efficacy during training. To test our model, we conducted a 12-week action-oriented training program and applied a longitudinal design with one baseline measurement, seven measurements during training, and one measurement after training. Analyses based on 415 lagged observations from 109 training participants indicated that participants with low error mastery orientation experienced decreases in entrepreneurial self-efficacy during training when facing problems. In contrast, participants high in error mastery orientation could buffer the negative effects of problems on entrepreneurial self-efficacy. Our results suggest that error mastery orientation is a critical factor to understand why participants' episodic experiences of problems during training negatively influence their entrepreneurial self-efficacy. Shedding light on these self-regulatory factors advances the understanding of the potential dark side of action-oriented entrepreneurship training.