Research in cognitive load theory is increasingly recognizing the importance of motivational influences on students' (willingness to invest) mental effort, in particular in the context of self-regulated learning. Consequently, next to addressing effects of instructional conditions and contexts on groups of learners, there is a need to start investigating individual differences in motivational variables. We propose here that the biopsychosocial model of challenge and threat may offer a useful model to study the motivational antecedents of (anticipated) mental effort. We also report four experiments as initial tests of these ideas, exploring how feedback valence affects students' challenge/threat experiences, self-efficacy, and mental effort investment. The results showed that negative feedback leads participants to expect that they will have to invest significantly more effort in future problems than positive feedback (Experiments 1, 2, and 3) or no feedback (Experiment 3). Had we not considered the motivational variables in investigating the effect of feedback conditions on effort investment, we would not have known that this effect was fully mediated and thus explained by participants' feelings of self-efficacy (Experiments 1/2) and threat (Experiment 1). We would also have concluded that feedback does not affect the willingness to invest effort in future problems (all four experiments), whereas actually, there were significant indirect effects of feedback on willingness to invest effort via challenge (in Experiments 1/2) and threat (in all experiments). Thus, our findings demonstrate the added value of considering challenge and threat motivational states to explain individual differences in effort investment.