The ability to learn has been essential in the development of entrepreneurial skills. In recent years, the role that the acquired experience of failure can play in the business environment has been increasing interest. Several authors have highlighted that failure can generate a valuable opportunity of learning for the entrepreneur. Based on this reality, this research aims to propose a conceptual model about competences and entrepreneurial learning in the context of business failure, through the development of a theoretical essay. As a result, we present a conceptual model in order to provide support for the development of empirical studies. The proposed model comprises: a) the business environment perceived by the entrepreneur as one of the aspects that can impact the performance in terms of business success or failure; b) the entrepreneurial skills and the learning process composed from experiences about the entrepreneurial carrier and the entrepreneurial knowledge; c) the learning journey resultant of the business failure, that can results in the intentions about starting a new venturing after the process of thinking and action. The results suggests that, in the context of business failure the knowledge process occurs where there is reflection, learning, and action in a socio-psychological process. Through this way, entrepreneurs have the opportunity to increase their skills, learn from mistakes, and develop a behavioral attitude that contributes to the development of a new business.