Research on explorative learning has primarily focused on the organizational level. Not much research has been done at the megaproject level, which is a more complex form of organizing. Therefore, it is advisable to analyze how the pursuit of explorative learning is enabled at the megaproject level. This research draws upon the case study of the Hong Kong-Zhuhai-Macao Bridge (HZMB)—a cross-sea link construction project—to study how explorative learning was achieved and sustained. The findings from archival documents, interviews, and focus group discussions indicate that megaprojects are more likely to increase in complexity but might bring value via more significant learning opportunities. Explorative learning is enacted through the complementary use of owner leadership, collaboration, external resources, and experiments. This research adds to our knowledge of how explorative learning works in practice and highlights its significance in the context of megaprojects.