The aim of this study is to compare the effects of three methods: problem-based learning (PBL), PBL with lecture method, and conventional teaching on the understanding of thermodynamics, group work and self-directed learning skills among physics undergraduates. The actual sample size comprises of 122 students, who were selected randomly from the Physics Department, College of Education in Iraq, for academic year 2011-2012. In this study, the pre and posttest were done and the instruments were administered to the students for data collection. Inferential statistics were employed to analyze data. The independent variables were the PBL, the PBL with lecture method, and the conventional teaching. Dependent variables of statistical analysis were posttest scores on the understanding of thermodynamics, group work skills, and self-directed learning skills. Covariates of statistical analysis were pretest scores of the understanding of thermodynamics, group work skills, and self-directed learning skills. The data were analyzed using statistical package social sciences (SPSS) version 19. Overall, the statistical results rejected all null hypotheses of this study. Thus, the use of PBL with lecture method enhances the understanding of thermodynamics better than using the PBL alone or using conventional teaching method. Using the PBL without or with lecture method promotes the skills of group work, and self-directed learning better than using the conventional teaching, among physics undergraduate.