This study integrates future goal theory and achievement goal theory. This study aims to (a) construct a model of future-oriented self-regulated learning to explain the relations among students’ distant goals, proximal goals, and self-regulated learning (SRL), and (b) investigate the moderating effect of students’ perceptions of classroom goal structures within the model. 768 junior high school students were recruited to participate in the study. Structure equation modeling was used for data analysis. The results showed that the proposed model was supported by the observed data and truly suitable to interpret the relations among future goals, personal goal orientation, and SRL among Taiwanese students. Future intrinsic goal was found to be most strongly related to approach-mastery goal, whereas future extrinsic goal most closely associated with approach-performance goal. Also, approach-mastery goal had the strongest positive influence on SRL. Regarding the moderating role, it was found that classroom goal structures moderated the relation between personal goal orientation and SRL; namely, the small, positive relationship between approach-performance goal and SRL was enhanced within mastery classroom goal structures but was reduced within performance classroom goal structures. This empirical study not only contributes to theory development but also sheds light on the practice of teaching and mentoring.