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The transition to proof is a significant obstacle for undergraduate mathematics majors. Universities generally have a class to facilitate this transition, but students traditionally struggle both within and beyond these classes. There is a close relationship between proof and problem-solving. We conducted task-based cognitive interviews with undergraduate students who had recently completed a transition-to-proofs course, investigating how students engaged with problem-centered and formal-rhetorical aspects of mathematics. Overall, we found that students struggled with formal-rhetorical aspects of the proof, were less willing to employ explorative strategies in the problem with formal-rhetorical aspects, and enjoyed mathematical tasks that were balanced with familiarity and frustration.