Over the past few years, it has become evident that the distinctive pattern of miRNA expression seen in embryonic stem cells (ESCs) contributes to important signals in the choice of the cell fate. Thus, the identification of miRNAs and their targets, whose expression is linked to a specific step of differentiation, as well as the modulation of these miRNAs, may prove useful in the learning of how ESC potential is regulated. In this context, we have studied the expression profile of miRNAs during neural differentiation of ESCs. We have found that miR-125b is upregulated in the first steps of neural differentiation of ESCs. This miRNA targets the BMP4 co-receptor, Dies1, and, in turn, regulates the balance between BMP4 and Nodal/Activin signaling. The ectopic expression of miR-125b blocks ESC differentiation at the epiblast stage, and this arrest is rescued by restoring the expression of Dies1. Finally, opposite to miR-125a, whose expression is under the control of the BMP4, miR-125b is not directly regulated by Transforming Growth Factor beta (TGFβ) signals. These results highlight a new important role of miR-125b in the regulation of the transition from ESCs to the epiblast stage and add a new level of control on TGFβ signaling in ESCs.