Problem-based learning (PBL) constitutes a promising way of integrating academia and social work practice because PBL fosters engagement with real-life problems and enhances important skills needed in social work practice. However, little attention has been given to social work students’ experiences of PBL. In this article we address this gap by exploring experiences of learning and learning preferences among master’s-level students in a Danish social work education setting where extensive problem-based project work is used. We find a discrepancy between students’ preferred learning and when they experience learning the most. Possible reasons for this discrepancy, and implications for teaching, are discussed.