In the advocacy coalition framework, policy learning is a key mechanism of policy change through which policy actors revise their beliefs and preferences over time as a result of social interactions and new information. The individual psychology of policy actors is a crucial link to understand how institutional settings and social practices influence policy learning. This neglected research program is addressed by looking at the role of the self in information processing. Based on regression analyses of a survey conducted in 2012 among 255 Belgian policy actors who had been involved in the European liberalization process of the rail and electricity sectors, the findings show a double effect of egocentrism which induces a biased assimilation of information, but also a negative alignment of policy actors’ preferences toward the liberalization policy over time. Similar effects of self-esteem are not confirmed. The theoretical and practical implications of these findings are discussed.