The worked example effect has been well documented within the framework of Cognitive Load Theory (CLT), which suggests that teaching with examples would be superior to engaging in unguided problem solving, particularly for novices, as using worked examples would reduce their cognitive load, compared to solving problems, thus facilitating knowledge retention. This paper, using multiple-step mathematics problems, reports an experiment investigating the micro level of the worked example effect on learning solution steps, from the perspective of cognitive load and challenge (as a relevant affective, motivational factor), testing the worked example effect with a transfer test. The results favoured worked examples on both the retention and transfer tests after learning and showed that using worked examples would reduce cognitive load and impose less challenge on each step during learning.