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The increasing use of massive data requires effective teaching strategies for business analytics. The discipline combines analytical skills, information technology, and business‐domain knowledge, and is challenging to teach to business students. This research demonstrates that business undergraduate students can benefit from an experiential project‐based learning approach (PjBL). By having student groups collecting data around a research question of their choosing and using descriptive and predictive analytics, we observed an increased understanding of the data‐driven decision‐making process, and improved analytical skills to approach, solve, and communicate business problems.