In knowledge‐intensive industries, the workplace has become a key locus of learning. To perform effectively, knowledge workers must be able to take responsibility for their own developmental needs, and in particular, to regulate their own learning. This paper describes the construction and validation of an instrument (the Self‐Regulated Learning at Work Questionnaire) designed to provide a measure of self‐regulated learning (SRL) behaviour in the workplace. The instrument has been validated through a pilot study with a cohort of 170 knowledge workers from the finance industry. Results indicate that the five scales of the instrument are reliable and valid, testing a broad range of sub‐processes of SRL. The instrument can be used to identify knowledge workers who demonstrate different levels of SRL in workplace contexts for further exploration through qualitative studies and could also provide the basis of professional development tools designed to explore opportunities for self‐regulation of learning in the workplace.