Goal setting is a vital component of self-regulated learning. Numerous studies show that selecting challenging goals has strong positive effects on performance. We investigate the effect of support for goal setting in SQL-Tutor. The experimental group had support for selecting challenging goals, while the control group students could select goals freely. The experimental group achieved the same learning outcomes as the control group, but by attempting and solving significantly fewer, but more complex problems. Causal modelling revealed that the experimental group students who selected more challenging goals were superior in problem solving. We also found a significant improvement in self-reported goal setting skills of the experimental group.