Many instructional videos in mathematics education target knowledge of procedures and algorithms. To design instructional videos that support students in a non-algorithmic domain, such as mathematical modeling, we developed a framework based on research on heuristic worked examples and instructional videos. Because students’ perceptions play an important role in whether they will engage with a learning resource, our research questions focus on the advantages and challenges students perceive when they work with an instructional video on mathematical modeling and solve a subsequent related modeling problem. Using a video based on the developed framework, we conducted an interview study with 14 pairs of upper-secondary students. The results of the qualitative text analysis showed that the perceived advantages and challenges were related to certain design features and to the processes of self-regulated learning with the video. The students experienced challenges regarding the video’s duration, the transfer to a subsequent related modeling problem, the absence of a teacher, and self-discipline. Hence, further learner support is necessary to guide the transition from working with a video to autonomous modeling, such as combining the video with strategic instruments and teacher support. In addition, interactive video features may be essential, as the students enjoyed how those features involved them in the process of watching the video. Overall, the results indicate that instructional videos are promising for providing heuristic worked examples, offering an innovative approach for teaching and learning mathematical modeling.