Transversal skills are the knowledge, skills, and personal qualities that are currently needed to meet the demands of the working world and everyday life. Schools have the task of equipping students with these skills, working not only on disciplinary goals but also on operational–behavioral goals. In 2018, the European Union adopted new recommendations on eight key competencies for lifelong learning and asked schools to implement new methods to develop these recommendations. To be successful, it is necessary to stimulate students’ development of these competences, which are also called soft skills, from the earliest years of the school experience. Physical education (PE) is called upon to make its contribution. In Italy, the two teaching methods used during PE classes are prescriptive teaching and heuristic learning. It is not clear which of the two methods is the most effective in improving soft skills, especially the skills involved in teamwork. The objective of this article was to compare the effects of these two teaching methods on students’ teamwork skills during PE classes in primary schools. After verifying the normality of the data, a Student’s t-test for dependent samples was performed to assess pre-test and post-test differences in each of two groups, while a Student’s t-test for independent samples was performed to compare the two groups after 3 months. Heuristic learning proved to be the most effective method for improving teamwork skills. The results may make an important contribution to future teacher training on the most effective teaching methods for developing students’ soft skills.