Jake Paul is taking a cue from "Rocky IV" and heading to the mountains to train for his upcoming boxing match ... and TMZ Sports has the video.

He's confident about the fight -- but when it comes to the FBI investigation surrounding him ... not so much.

The 23-year-old was on a hardcore mountain bike ride early Wednesday morning with his team in Mammoth Lakes, California.

FYI, top fighters like UFC star Rafael dos Anjos and others have trained in Mammoth in the past because of the altitude  -- it sits nearly 8,000 feet above sea level and many athletes feel it helps with conditioning.

Paul -- who's set to fight 36-year-old ex-NBA star Nate Robinson on Nov. 28th -- clearly feels the training location will give him an advantage.

In fact, when asked for a fight prediction, Jake's promising a 1st round knockout of the 3-time NBA Slam Dunk champion.

But, when asked if he'll also be able to beat the FBI's case against him stemming from an incident in Arizona back in May, Jake replied, "I don't know about all that."

As we previously reported, the FBI says it's investigating allegations of criminal acts surrounding the incident at Scottsdale Fashion Square.

The feds even raided Jake's Calabasas home earlier this month and confiscated several firearms.

Jake has played down the investigation -- telling his fans not to worry ... and plans to make a music video about the situation.