Bone morphogenetic protein 4 (BMP4) plays an important role in maintaining embryonic stem cells (ESCs) in the undifferentiated state and in the regulation of lineage commitment. We recently identified a transmembrane protein, named Dies1, the suppression of which by RNA interference blocks mouse ESC differentiation by interfering with the BMP4 signaling. We asked whether modulation of Dies1 levels could be a physiological mechanism to regulate ESC pluripotency and/or differentiation. We demonstrated that miR-125a targets Dies1 and regulates its expression in ESCs. The overexpression of miR-125a impairs differentiation, and this effect is specifically mediated by Dies1 down-regulation and accompanied by a decrease of BMP4 signaling. We also found that Dies1 is associated with BMP4 receptor complex and that BMP4 activates the transcription of miR-125a gene. Therefore, a feedback loop exists that sets ESC sensitivity to BMP4. The analysis of this regulatory mechanism revealed that miR-125a overexpression and the consequent inhibition of the BMP4 signaling arrest the cells in the epiblast stem cell (epiSC) status, due to the concomitant activation of the Nodal/Activin pathway.