Self-directed learning (SDL) is a form of learning wherein individuals have primary control over much or all of the learning process. Little research has been done to investigate this topic in nonhuman animals. The current study involved testing rhesus monkeys and tufted capuchin monkeys on a chained sequential learning task to assess whether they could engage in SDL. Monkeys were either forced to sequence a randomly assigned number of unfamiliar items, allowed to choose the number of unfamiliar items they wanted to sequence, or allowed to choose the number of items they wanted to sequence in a set of familiar items. Species differences in choice behavior emerged, with rhesus monkeys choosing long sequences and capuchins choosing medium-length sequences. However, neither of these strategies proved efficient. The results did not support the idea that nonhuman primates can engage in SDL, and potential causes for the species’ different strategies are discussed.