Sense of Belonging is an essential human motivation that has been shown to be a critical component of students' undergraduate careers. The current paper reports on a sequential, explanatory mixed-methods study to understand the factors that may shape Sense of Belonging amongst students during a critical semester of their studies -- while taking modern physics, which is a transition course from lower- to upper-division for students intending physics majors and minors.  In this sequential design, a quantitative study of students' Sense of Belonging was first conducted, with a 44-item survey (including measures of Sense of Belonging and Physics Identity) administered at the beginning and end of the semester, for three different semesters (different classes of students).  After validation, we found significant gains in Sense of Belonging in one particular semester of this course.  To understand why this might have happened, we conducted the second phase of this study by interviewing students who showed positive gains during that semester.  The purpose of the second phase was to explore possible sources (experiences, supports, etc) that contributed to these gains.  We report a comparative case analysis of three students and consider three distinct sources of improved Sense of Belonging: classroom experiences, peers, and departmental/community experiences.  These results suggest hypotheses for further study in future work, and identify possible ways that educators can support physics students to gain positive Sense of Belonging during their student careers.