Enhancing academic engagement in university students can help enrich students’ educational experience. Drawing on the Conservation of Resources Model and the Job Demand-Resources Model, this study aims to explore the links between undergraduates’ achievement goal orientation and academic engagement (AE), by examining the mediating functions of perceived school climate (PSC) and academic self-efficacy (ASE). Using whole-group sampling, 571 Chinese undergraduates were selected using a self-reporting method to explore the impacts of mastery-approach goals (MAGs) and performance-avoidance goals (PAGs) on AE, as well as the chain mediating effects of PSC and ASE. The findings show that both MAGs and PAGs have a positive, direct, predictive effect on university students’ AE. Additionally, both goal orientations indirectly predict AE through PSC and ASE, separately. The results showed there was also a significant chain mediating effect of PSC and ASE, where for both goal orientations, AE was positively predicted. This study highlights the role of environmental as well as personal factors in facilitating self-regulated learning among university students, and it discusses implications for future research.