In this chapter, we analyze the problem oriented project work practiced at the Bachelor Study Program in Natural Science (Nat Bach) at Roskilde University (RU) as a learning environment for developing students’ mathematical modelling competence. The projects are conducted in a rather sophisticated and radical learning environment grounded on the four pedagogical key principles of problem orientation, participant directed group work, interdisciplinarity and exemplarity. We illustrate and discuss the interplay between the aim of developing the students’ modelling competence on the one hand and on the other hand the key principles of the project work and the learning environment in which this pedagogy is brought into life at Nat Bach. In particular, we focus on the role and function of the feedback in the supervision process, and the peer‐review seminars. Through the analyses we aim at contributing to the research on modelling in mathematics education especially regarding the importance of the students’ autonomy in the modelling process, the exemplarity of their work and the interdisciplinary nature of modelling.