In the present study, we tested the effectiveness of three learning strategies (self-explanation, learning by teaching and passive viewing) used by students who were learning from video lectures. Effectiveness was measured not only with traditional measures, but also with electroencephalography (EEG). Using a within-subjects design, 26 university students viewed three sets of short lectures, each presenting a different set of English vocabulary words and were asked to use a different learning strategy for each set of lectures. Participants' EEG signals were assessed while watching the videos; learning experience (self-reported motivation and engagement) and learning performance (vocabulary recall test score) were assessed after watching the videos. Repeated measures ANOVAs showed that the self-explaining and teaching strategies were more beneficial than the passive viewing strategy, as indicated by higher EEG theta and alpha band power, a more positive learning experience (higher motivation and engagement) and better learning performance. However, whereas the teaching strategy elicited greater neural oscillations related to working memory and attention compared to the self-explanation strategy, the two groups did not differ on self-reported learning experience or learning performance. Our findings are discussed in terms of potential application in courses using video lectures and in terms of their heuristic value for future research on the neural processes that differentiate learning strategies.