The empirical literature on goal orientation is ambiguous in relation to the supposed effects of performance goal orientation (PGO) on goal setting and performance. In an attempt to clear up this issue it was hypothesized based on Carol Dweck's (1989) theoretical framework that dispositional performance goal orientation would interact with self-efficacy in their effect on level of self-set goal and performance, such that the relationship between PGO and goals (and performance) would be positive for individuals high on self-efficacy, while negative for individuals low on self-efficacy. Furthermore it was predicted that learning goal orientation would be positively related to both goals and performance. In both cases it was predicted that goals would serve as a mediator between the goal orientations and performance. The hypotheses were tested using a diverse sample (N = 146) of Icelandic job applicants on their way to a job interview. No support for the hypotheses was found. Potential causes for the non-findings are identified and analyzed and the status of the goal orientation construct is discussed.