We report on theoretical courses by Fermi and Majorana, giving evidence of the first appearance and further development of Quantum Mechanics teaching in Italy. On the basis of original documents, we make a comparison between Fermi's and Majorana's approaches. A detailed analysis is carried out of Fermi's course on Theoretical Physics attended by Majorana in 1927-28. Three (previously unknown) programs on advanced Physics courses submitted by Majorana to the University of Rome between 1933 and 1936 and the course he held in Naples in 1938 complete our analysis: Fermi's phenomenological approach resounded in Majorana, who however combined it with a deeper theoretical approach, closer to the modern way of presenting Quantum Mechanics.