The objective of our research is the implementation of STEAM (Science Technology Engineering Art Mathematics) learning in the bachelor of Engineering in industrial design and product development at CEU Cardenal Herrera University through the EXPLORIA project. This article implements and develops the proposal for the first year of this bachelor, which includes 24 students aged 18–20. This article focuses on how to integrate STEAM learning within the EXPLORIA project for the improvement in the learning of the physics subject, and in particular, regarding the part of the syllabus related to mechanical engineering through different projects, challenges and milestones that allow the student to see the use in the design and development of products. The EXPLORIA project connects the competencies of the different STEAM subjects included in the bachelor, designing a learning process as a logical, sequential and incremental itinerary. Through concepts on which the fundamentals of design are based: shape, volume, color, space and structure. In particular, this article shows the adaptation made in the physical part to be able to teach the integrated mechanics part in this learning process. The complete learning was carried out through several challenges and two milestones the students had to overcome through the application of the physical knowledge learned in class. To validate the effectiveness of the proposed methodology, at the end of the paper, an ad hoc questionnaire is carried out showing the students’ assessment regarding the new teaching methodology.