Venous leg ulcers (VLUs) provoke multiple symptoms and impact individuals and society as a whole. Their treatment and prevention strategies require individual’s involvement in self-management strategies. Insufficient knowledge with regard to prevention, management, and treatment has been identified as a critical factor related to VLUs and their recurrence. Therapeutic patient education (TPE) proposed as part of a management strategy for this population provides unclear benefits regarding wounds healing or prevention of recurrence. The aim of the study was to develop a theory explaining how individuals with a VLU experience an individualized nurse-led TPE program regarding self-management strategies. The constructivist approach of Charmaz to the grounded theory method was used to develop the theory. A total of 26 individuals contributed to the co-construction of the theory through face-to-face or telephone semi-structured interviews. Data analysis and data collection occurs simultaneously with a comparative process to reveal the conceptual categories, apply theoretical sampling, and define theoretical saturation. The theory of “Conscientiously Engaging in Self-Management” was co-constructed with the participants encapsulating four categories: “Being influenced by my own story,” “Being personally informed,” “Making conscientious decisions to engage in self-adapted management strategies,” and “Integrating a conscientious way of living.” This theory highlights individuals’ voices and stories toward their journey of VLU self-management taking contextual factors into consideration. This new theory offers new knowledge about implementation of self-management strategies for individuals living with a VLU and will inform clinical practice and contribute to the development of targeted interventions.