We explored whether students’ (N = 154) engagement in mind wandering (both intentional and unintentional forms) throughout a 12-week undergraduate course was related to their performance on in-class quiz questions and later course exams. Intermittently presented thought-probes sampled mind-wandering rates during lectures, and retention of lecture information was gauged by later quiz and exam performance. A number of self-report measures including overall grade-point average (GPA), motivation to learn, and overall propensity to mind wander were also collected. Among the many results of our study, we found that at the group level students’ bouts of intentional, t = 2.37, p < .05, but not unintentional, t = 1.39, p = .17, mind wandering resulted in poorer quiz scores than did periods of on-task focus. At the level of individual differences, regression and mediation analyses revealed that intentional mind wandering was most strongly linked to short-term performance costs, measured by quiz performance (intentional: β = −.23, p < .01; unintentional: β = −.16, p = .06). Conversely, unintentional mind wandering was most strongly related to longer term performance costs, measured by exam performance (intentional: β = −.01, p = .90; unintentional: β = −.14, p = .06). Interestingly, mind wandering was found to be associated with performance independently of other known determinants of performance (e.g., GPA, class attendance). Together these findings provide evidence that (a) mind wandering during university lectures is associated with significant performance costs, and (b) the nature of these costs depends on whether the mind-wandering episode was intentional or unintentional.