Training is one way of enabling novice workers to work on complex crowdsourcing tasks. Based on goal setting theory in psychology, we conduct a randomized experiment to study whether and how setting different goals---including performance goal, learning goal, and behavioral goal---when training workers for a complex crowdsourcing task affects workers' learning perception, learning gain, and post-training performance. We find that setting different goals during training significantly affects workers' learning perception, but does not have an effect on learning gain or post-training performance. Further, exploratory analysis helps shed light on when and why various goals may or may not work in the crowdsourcing context.