Mathematical reasoning is a difficult activity for students, and although standards have been introduced worldwide, reasoning is seldom practiced in classrooms. Productively supporting students during the process of mathematical reasoning is a challenge for teachers, and applying formative feedback might increase students' reasoning effectiveness. Research has shown that the relationship between formative feedback and achievement is rather indirect, e.g. conveyed through students' self-efficacy beliefs. We examined whether the formative feedback perceived by students, as part of a 10-week student training programme, supported the development of reasoning competence via self-efficacy beliefs among 1261 students in 71 primary classes. We used multi-level modelling to analyse the expected relationships. On the class level, formative feedback predicted reasoning, which was mediated by self-efficacy; on the individual level, formative feedback predicted self-efficacy, but not reasoning. The results only partially confirmed our hypotheses. We discuss explanations for these findings and present implications for teaching mathematical reasoning.