Today’s adolescents represent an elective target in addressing environmental challenges. Education is a key factor in achieving a sustainable future for them. However, formal education can represent a challenge when youths are its target, as they are considered the “interactive generation”. Game-based learning, and, in particular, Digital Educational Escape Rooms (DERs), have emerged as innovative methods in education, with promising applications in environmental sustainability studies. In this study, we developed 14 Digital Escape Rooms using the Social Cognitive Theory of Bandura as a theoretical framework. These were focused on environmental education and we tested them on a sample of 411 students (aged 12–18 years; 158 female, 38.4%). A one-group quasi-experimental research design was adopted, carrying out a pre-test post-test analysis. Each participant completed assessments at two time points: before engaging in the escape rooms (T0) and after (T1). The assessment tools included the Goal Assessment Scale (GAS) and the Perceived Climate Self-Efficacy Scale. Our findings revealed no significant gender differences in goal achievement. However, at T0, females exhibited higher levels of perceived climate self-efficacy in both individual and collective dimensions. Instead, the Digital Escape Rooms appeared particularly effective in increasing self-efficacy among male participants. These results suggest that Digital Escape Rooms hold potential for enhancing environmental self-efficacy, although gender differences in baseline efficacy levels warrant further exploration.