This systematic review aimed to provide a comprehensive and up-to-date understanding of the current state of empirical research in self-regulated learning (SRL) and music, investigating learning strategies planned and employed by advanced musicians and evidence to support the benefits of SRL training for this population. Using the Preferred Reporting Items for Systematic Reviews and Meta-Analyses (PRISMA) protocol, we initially identified 3323 records related to our search, spanning the period from 2001 to 2023. Inclusion criteria consisted of peer-reviewed empirical articles reporting studies involving the participation of advanced (i.e., undergraduate and postgraduate student and professional) musicians using Zimmerman’s cyclical model of SRL and published in English, Spanish, Portuguese, or French. Forty-eight articles met all the inclusion criteria and were included in the review. We divided them into three types: reports of observational studies, descriptive-correlational, and intervention studies. We discuss the findings according to the three phases of Zimmerman’s cyclical model: forethought, performance/volitional control, and self-reflection, including the processes of goal setting, selection and adaptation of learning strategies, help seeking, time management, and self-evaluation and adaptation. Our analysis identified trends in the behavior of advanced musicians, particularly regarding practice quantity and musical achievement. Suggestions for future research indicate the need to invest in the training of instrumental and vocal teachers, so that they become familiar with SRL learning strategies that they can pass on to their students.