Higher education institutions play an important role in the transition processes to sustainable development through developing critical thinking (CT) in their students. The case of the Research Methodology course of the International Cooperation Master’s degree at the Universitat Politècnica de València is a paradigmatic case of experiential learning, where students face their own realities related to sustainable topics through an action research project with the Agroecological Market (AM). The learning methodology is project-based learning and helps the participants to deeply analyze problems related to the transition of socio-technical systems, such as sustainable food. The objective of this research was to analyze the contribution of project-based learning to students’ critical thinking through a qualitative analysis of the pedagogical outputs obtained during the course. The analysis and results are structured in three dimensions of critical thinking: (i) students’ critical attitude towards reality; (ii) students’ ability to reason and analyze in order to form their own rigorous judgments; and (iii) students’ capacity to construct and deconstruct their own experiences and meanings. The results show that project-based learning using a real-life scenario helped students reflect on their critical thinking and the challenges that our societies face for a transition to sustainability.