The dataset for this article sought to uncover the nature of the relationship between entrepreneurial program and entrepreneurial mindset through the mediating role of students’ extracurricular activities. A total of 240 questionnaires were collected from Umm Al-Qura University students and analyzed using SmartPLS software 3.0. Validity and reliability were tested to ensure good quality data. The direct impacts of entrepreneurial program and the mediating role of extracurricular activities on entrepreneurial program were estimated using regression path coefficients. Because the comparison group was unknown in advance, the finite mixture partial least squares (FIMIX-PLS) and partial least squares prediction-oriented segmentation (PLS-POS) approaches were adopted to examine the unobserved heterogeneity of the entire model. After the analysis, two groups were retained. The full data showed weak variance in the two variables.