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While the importance of mathematics learning has been increasingly recognized by both scholars and educators, many students suffer from anxieties in learning mathematics. Therefore, both educators and students demand more knowledge to understand how they can effectively reduce the negative impacts of math anxiety. This study explores the underlying mechanisms by which math anxiety affects students’ learning efforts, thereby mathematics performance. The results reveal that math anxiety hinders students’ learning efforts by reducing their sense of belonging in school. More importantly, we find that this effect might be potentially mitigated by introducing effective formative assessment by their teachers.