Integrating conservation of resources theory and students’ approaches to learning, we consider the relationship between emotional exhaustion and self-efficacy as a within- person resource loss process that is explained via deep and surface learning strategies. Using an experiential sampling design, weekly diary data were collected from undergraduate students as they engaged in a learning task (i.e., tutorial participation). With 414 usable responses from 107 students, our results indicated that emotional exhaustion was negatively related to deep learning strategy and positively related to surface learning strategy at the within-person level. In turn, deep learning strategy was positively, whereas surface learning was negatively related to self-efficacy. Mediation analyses indicated that the learning strategies explained the effect of emotional exhaustion on self-efficacy. We contribute to theory by highlighting behavioral strategies as underlying mechanisms that can explain how the depletion of resources (emotional exhaustion) can fuel further resource loss (reduced self-efficacy). We also contribute practically by emphasizing potential points of intervention to break downward spirals of resource loss.